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24
series. The residual is taken to represent the business cycle (and
the remaining components). Instead of a linear trend, other poly-
nomial functions of time are possible. With the study of Nelson -
Plosser ( 1982), this approach has lost most of its popularity. For the
U.S., they found that a large part of economic time series are al-
legedly difference stationary, where the trend cannot be re-
moved by linear de-trending.
For this reason, this method is not state-of-the-art and should not
be considered as an option further on in the present study.
3.2.4.2 Phase-average trend
This is a heuristic method of determining the trend of non-station-
ary time series, usually applied in the classical business cycle
framework for estimating the amplitudes of business cycle varia-
tions of trended time series. Basically, it consists of the following
steps40: After identifying the turning points in the trended time se-
ries, it is split up into segments between two consecutive turning
points (called "phases"). For each of these segments the mean is
calculated (this is the "phase-average"). In order to obtain the
trend for the whole series, these averages are combined with a
smoothing three-term moving average. As this method of trend
extraction requires an ex-ante determination of the turning points,
it is not suitable for this study41 •
3.2.4.3 First-order differencing
Here, de-trending is made by deducting the value at time t - 1
from t in order to get stationary differences {if they are first-order
difference stationary which is in most cases assumed or tested). If
"° A detailed description of the full procedure can be found in Boschan - Ebanks
(1978).
41 Breuss ( 1984) has used this approach for isolating the Austrian business cycle.
The Austrian Business Cycle in the European Context
Forschungsergebnisse der Wirtschaftsuniversitat Wien
- Title
- The Austrian Business Cycle in the European Context
- Author
- Marcus Scheiblecker
- Publisher
- PETER LANG - lnternationaler Verlag der Wissenschaften
- Location
- Frankfurt
- Date
- 2008
- Language
- English
- License
- CC BY 4.0
- ISBN
- 978-3-631-75458-0
- Size
- 14.8 x 21.0 cm
- Pages
- 236
- Keywords
- Economy, Wirtschaft, WIFO, Vienna
- Categories
- International
- Recht und Politik
Table of contents
- Zusammenfassung V
- Abstract IX
- List of figures and tables XV
- List of abbreviations XVII
- List of variables XIX
- 1. Research motivation and overview 1
- 2. The data 7
- 3. Methods of extracting business cycle characteristics 13
- 4. Identifying the business cycle 41
- 5. Analysing cyclical comovements
- 6. Dating the business cycle 61
- 7. Analysis of turning points 71
- 8. Results 79
- 9. Comparing results with earlier studies on the Austrian business cycle 125
- 9.1 Comparing the results with the study by Altissimo et al. (2001) 126
- 9.2 Comparing the results with the study by Monch -Uhlig (2004) 128
- 9.3 Comparing the results with the study by Cheung -Westermann (1999) 130
- 9.4 Comparing the results with the study by Brandner -Neusser (1992) 131
- 9.5 Comparing the results with the study by Forni - Hallin -Lippi -Reich/in (2000) 132
- 9.6 Comparing the results with the study by Breitung -Eickmeier (2005) 134
- 9.7 Comparing the results with the study by Artis - Marcellino - Proietti (2004) 134
- 9.8 Comparing the results with the study by Vijselaar -Albers (2001) 140
- 9.9 Comparing the results with the study by Artis - Zhang (1999) 142
- 9.10 Comparing the results with the study by Dickerson -Gibson -Tsakalotos (1998) 142
- 9.11 Comparing the results with the study by Artis - Krolzig - Toro (2004) 143
- 9.12 Comparing the results with the dating calendar of the CEPR 146
- 9.13 Comparing the results with the study by Breuss ( 1984) 151
- 9.14 Comparing the results with the study by Hahn - Walterskirchen ( 1992) 153
- 9.15 Comparison of the results of different dating procedures 154
- 9 .15.1 Turning point dates of the Austrian business cycle 155
- 9 .15.2 Turning point dates of the euro area business cycle 156
- 10. Concludlng remarks 161
- References 169
- Annex 177