BRYBOSCHAN (Bry-Boschan Business Cycle Dating)
Posted: Wed May 09, 2007 2:44 pmThe 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( 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.
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
- (15.61 KiB) Downloaded 365 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 301 times
- bryboschanquarterly.rpf
- Example for quarterly data
- (563 Bytes) Downloaded 218 times
- watsonaer.rat
- Data file
- (190.5 KiB) Downloaded 216 times