BBQ: Harding-Pagan (Quarterly Bry-Boschan) Business Cycle Dating...

Description Usage Arguments Details Value Author(s) References Examples

Description

This function implements the Harding and Pagan algorithm that creates a quarterly dating from a univariate time series.

Usage

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BBQ(y, mincycle = 5, minphase = 2, name = "")

Arguments

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.

Details

See Reference paper.

Value

An object of class "BCDating". You can use show(), summary(), window(), and plot() on it.

Author(s)

Majid Einian,[email protected],
Monetary and Banking Research Institute, Central Bank of Islamic Republic of Iran

Franck Arnaud ,
National Institute of Statistics and Economic Studies (INSEE), France

References

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.

Examples

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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)

Example output

   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

BCDating documentation built on May 1, 2019, 6:31 p.m.