Econometric Business Cycle Research

Econometric Business Cycle Research: an assessment of method

Econometric busines cycle research (EBCR) combines economic theory and measurement in the study of business cycles, i.e., up and downs in overall economic activity. EBCR has four goals: description, forecasting, policy evaluation and implementation/testing of economic theories. In this paper I assess four EBCR methods: business cycle indicators, simultaneous equations models, vector autoregress...

Reproducible Econometric Research

These notes are an informal, first installment in an ongoing project to develop a convenient template for computational experimentation in econometrics. The approach is illustrated by means of an example based on some current research with Steve Portnoy on improving the speed of quantile regression algorithms. The computations are carried out in splus, but similar techniques could be adapted fo...

Business Cycle Features In The Iranian Economy

Evolution of The Yield Curve and the Business Cycle: An Econometric Model

We propose a framework to model the evolution of the entire yield curve over time, maintaining consistency with the cross sectional fit across maturities. Using a parsimonious representation of the business cycle, namely the loop representation, as the key driver of the yield curve, the model combines the cross sectional properties like the curve shape with its dynamic evolution, depending on t...

Dating Business Cycle in Oil Exporting Countries

In this paper, we empirically investigate the relationship between oil price changes and output in a group of oil exporting countries. The dynamics of business cycles in Libya, Saudi Arabia, Nigeria, Kuwait, Venezuela and Qatar are modeled by alternative regime switching models. We show that the extension of uni-variate Markov Switching model in order to include oil revenue improves dating busi...