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Statistical and Econometric Analysis of the Cycle

  • Nicholas DimsdaleEmail author
  • Ryland Thomas
Chapter

Abstract

This chapter considers a range of metrics for evaluating business cycles. The statistical techniques used here are familiar to many economists and the survey does not pretend to be exhaustive. It considers both the algorithmic and statistical approaches used in classical cycle analysis. It then compares those methods with the parametric and non-parametric approaches to analysing growth cycles where a number of filtering and de-trending procedures can be used. The emphasis is on a univariate analysis of the business cycle using a single indicator such as GDP which has been the focus of much of the literature and there is a discussion of the pros and cons of this approach.

Keywords

Business cycle metrics Parametric and non-parametric approaches Filters De-trending 

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Copyright information

© The Author(s) 2019

Authors and Affiliations

  1. 1.University of OxfordOxfordUK
  2. 2.Bank of EnglandLondonUK

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