Description Usage Arguments Details Value Author(s) References Examples
This function implements the Harding and Pagan algorithm that creates a quarterly dating from a univariate time series.
1 |
y |
The input time series. |
mincycle |
Minimum length of a cycle. default=5 |
minphase |
Minimum length of a phase of a cycle.default=2 |
name |
The name of the series or dating. |
See Reference paper.
An object of class "BCDating". You can use show(), summary(), window(), and plot() on it.
Majid Einian,m.einian@mbri.ac.ir,
Monetary and Banking Research Institute, Central Bank of Islamic Republic of Iran
Franck Arnaud ,
National Institute of Statistics and Economic Studies (INSEE), France
Harding, D. and Pagan A. 2002 "Dissecting the Cycle: A Methodological Investigation." Journal of Monetary Economics 49 (2), 365–381. http://www.sciencedirect.com/science/article/pii/S0304393201001088.
1 2 3 4 5 6 7 | data("Iran.non.Oil.GDP.Cycle")
dat <- BBQ(Iran.non.Oil.GDP.Cycle, name="Dating Business Cycles of Iran")
show(dat)
summary(dat)
plot(dat)
data(MBRI.Iran.Dating)
plot(dat,MBRI.Iran.Dating)
|
Peaks Troughs Duration
1 <NA> 1368Q2 <NA>
2 1370Q4 1372Q4 8
3 1373Q2 1374Q1 3
4 1376Q1 1378Q1 8
5 1378Q4 1380Q1 5
6 1381Q1 1381Q3 2
7 1383Q1 1383Q4 3
8 1386Q1 1387Q2 5
9 1390Q2 1392Q2 8
Phase ]Start ;End] Duration LevStart LevEnd Amplitude
1 Recession <NA> 1368Q2 NA NA 0 NA
2 Expansion 1368Q2 1370Q4 10 0 0 0.1
3 Recession 1370Q4 1372Q4 8 0 0 0.1
4 Expansion 1372Q4 1373Q2 2 0 0 0.0
5 Recession 1373Q2 1374Q1 3 0 0 0.0
6 Expansion 1374Q1 1376Q1 8 0 0 0.1
7 Recession 1376Q1 1378Q1 8 0 0 0.0
8 Expansion 1378Q1 1378Q4 3 0 0 0.0
9 Recession 1378Q4 1380Q1 5 0 0 0.0
10 Expansion 1380Q1 1381Q1 4 0 0 0.0
11 Recession 1381Q1 1381Q3 2 0 0 0.0
12 Expansion 1381Q3 1383Q1 6 0 0 0.0
13 Recession 1383Q1 1383Q4 3 0 0 0.0
14 Expansion 1383Q4 1386Q1 9 0 0 0.0
15 Recession 1386Q1 1387Q2 5 0 0 0.0
16 Expansion 1387Q2 1390Q2 12 0 0 0.0
17 Recession 1390Q2 1392Q2 8 0 0 0.0
18 Expansion 1392Q2 <NA> NA 0 NA NA
Amplitude Duration
Exp=]T;P] 0 6.8
Rec=]P;T] 0 5.2
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