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Measuring length of business cycles across countries using a new non‐stationary unit‐root cyclical approach
Author(s) -
GilAlana L. A.
Publication year - 2006
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/asmb.633
Subject(s) - unit root , autocorrelation , gross domestic product , business cycle , econometrics , per capita , unit (ring theory) , mathematics , statistics , white noise , series (stratigraphy) , root (linguistics) , economics , macroeconomics , demography , population , paleontology , linguistics , philosophy , mathematics education , sociology , biology
This article examines the length of the cycles in the gross domestic product (GDP) real per capita series of 15 countries by means of new statistical techniques based on unit root cycles. We propose tests for unit root cycles at each of the frequencies of the process. Using this approach, we are able to approximate the number of periods per cycle. The results show that the cycles have a periodicity of approximately six years when the disturbances are white noise. However, if we permit autocorrelation, they may also occur at smaller intervals of time. Copyright © 2006 John Wiley & Sons, Ltd.