BRYBOSCHAN (Bry-Boschan Business Cycle Dating)

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BRYBOSCHAN (Bry-Boschan Business Cycle Dating)

Postby TomDoan » Wed May 09, 2007 2:44 pm

The attached is an implementation of the Bry-Boschan business cycle dating algorithm. For quarterly data, it implements the Pagan-Harding(2002) version.

Bry and Boschan (1971). "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs", NBER, New York.
Pagan and Harding (2002) "Dissecting the cycle: a methodological investigation", Journal of Monetary Economics, Volume 49, Issue 2, 365-381.

bryboschan.src
Requires RATS v7.0. Updated August 12, 2011 to fix typo on MVFRACTILE option
(15.67 KiB) Downloaded 164 times


@BryBoschan( options ) series start end

Options

MA=width of centered MA used in final refinement [chosen based upon MCD criterion]
PRINT=[NONE]/FINAL/ALL - level of output desired
QUARTERLY/[NOQUARTERLY]

PEAK=(output) dummy variable series with 1's in the chosen peak entries
TROUGH=(output) dummy variable series with 1's in the chosen trough entries

Examples

These examples are based upon Mark Watson(1994), "Business Cycle Durations and Postwar Stabilization of the U.S. Economy", American Economic Review, vol 84, no 1, 24-46. The monthly example is from the paper itself, while the quarterly uses the same data set, but is compacted to quarterly.

bryboschan.rpf
Example for monthly data
(463 Bytes) Downloaded 443 times

bryboschanquarterly.rpf
Example for quarterly data
(563 Bytes) Downloaded 349 times

watsonaer.rat
Data file
(190.5 KiB) Downloaded 344 times
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Re: Bry-Boschan Business Cycle Data Algorithm

Postby m joaorodrigues » Wed Aug 10, 2011 11:35 am

Hi there,

Just wondering if there are any rats codes that calculate the bry-boschan algorithm but for deviation cycles (eg kalman filter, band-pass, etc.) instead of the usual classical cycle.

Artis, Michael J., Massimiliano Marcellino and Tommaso Proietti (2003), “Dating the Euro Area Business Cycle”, CEPR Discussion Paper no. 3696, devised something of that kind!

Thanks,
Best regards
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loading files, bry boschan algorhitm

Postby zulkas » Fri Jan 13, 2012 3:35 pm

Good evening,

I´d like to apologize about my english. I´m from Spain. I´m trying to use winrats to can run the bry boschan algorhitm, but i have no idea how can i do it. I have downloaded the file bryboschan.src but i don´t know what to do with it, i even don´t know how can i import the dates to winrats in a proper format. I have an excel file with the dates in the format 30/12/2011 and with a lot of columns with labels in the first cell and numbers in the rest of them. Even if i was able to import this file to winrats, then what? how could i run the bry boschan algorhitm to my variables? please i really need help.

i attach you the excel file
Attachments
3 peridoos ajustados bueno.xls
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Re: loading files, bry boschan algorhitm

Postby moderator » Fri Jan 13, 2012 3:59 pm

The first step is of course to get the data read in. If you have no idea how to do that, please start by working through at least the first few sections of the "Introduction to RATS" book included with the software. That should tell you everything you need to know about reading in data.

In terms of applying the Bry Boschan algorithm, that is available in RATS via a pre-written "procedure" included with RATS called @BryBoschan.

Assuming you are new to using procedures in RATS, please see pages 32-33 of the Introduction for some general information on using procedures. You can find more on using procedures on pages 451-452 of the "User's Guide".

Next, open up the BryBoschan.src file (which contains the code for the procedure). You will find comment lines at the top of the file describing the syntax (options, parameters, etc.) and other details of the procedure.

I hope this will help you get started.
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Re: loading files, bry boschan algorhitm

Postby zulkas » Fri Jan 13, 2012 6:26 pm

I have created an excel with clear turning points to try to understand how the algorithm works. i´m using these commands:

CAL 2005 6 12
ALL 2011 12
OPEN DATA ADFDF..XLS
DATA(FORMAT=XLS,ORG=COLS)
CALENDAR(M) 2005:6

@BRYBOSCHAN PEAK=2007:11 TROUGH=2005:10 PRUEBA 2005:6 2011:12

i don´t know what i´m doing wrong, can anyone explain me which commands do i have to use to obtain the results i´m looking for?
Attachments
ADFDF.xls
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Re: loading files, bry boschan algorhitm

Postby TomDoan » Mon Jul 08, 2013 12:06 pm

There are examples of the use of BryBoschan above.

The PEAK and TROUGH options are for output, not input. Bry-Boschan is designed to locate the business cycle peaks and troughs, so you don't want to input them. The most basic use with your data would be:

@BRYBOSCHAN PRUEBA 2005:6 2011:12

If you want to save dummy series with the peaks and troughs, you would do that with

@BRYBOSCHAN(PEAKS=PEAKS,TROUGHS=TROUGHS) PRUEBA 2005:6 2011:12
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Input of @BryBoschan

Postby hardmann » Mon Dec 09, 2013 9:25 pm

Dear Tom:

While we call the @BryBoschan, whether its input (series) is level, or detrend?

Best regard.
Hardmann
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Re: Input of @BryBoschan

Postby TomDoan » Mon Dec 09, 2013 9:59 pm

hardmann wrote:Dear Tom:

While we call the @BryBoschan, whether its input (series) is level, or detrend?

Best regard.
Hardmann


Levels. It uses its own definition for the trend.
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