A New Approach to Dating the Reference Cycle

Abstract

P (MICINU, AEI/ERDF, EU), respectively. All remaining errors are our responsibility. Data and codes that replicate our results are available from the authors' websites. The views in this paper are those of the authors and do not represent the views of the Banco de España or the Eurosystem.

An Automatic Algorithm to Date the Reference Cycle of the Spanish Economy

“…, N − 1. The approach described in Camacho et al (2021) assumes that each individual pair of peak and trough dates in a reference cycle k, τ i , is a realization of a density conditioned by τ i−1 = {τ 1 , . .…”

“…Finally, as in [7], we follow [11] and compute the Bayes factors sequentially. The sequence of (twice the log of) Bayes factors also points to K = 7 as the Bayes factor that establishes the comparison of the model with K = 7 clusters and the model with K = 6 clusters favors the extra cluster.…”

“…Against this background, ref. [7] recently proposed a novel date-then-average methodology that views the reference cycle as a multiple change-point mixture model. They consider that the reference cycle is a collection of increasing change-points (peak-trough dates) that segment the time span into non-overlapping episodes.…”

“…We evaluate the extension of the [7] algorithm developed in this paper in terms of its capacity to generate the SBCDC reference cycle for Spain. The results of this exercise suggest that our approach is able to identify the SBCDC turning points with high accuracy.…”

“…The rest of the paper is organized as follows. Section 2 summarizes the methodology proposed in [7] which estimation technique is described in Section 3. Section 4 presents the empirical application to date the reference cycle of the Spanish reference cycle since the 1970s.…”