Correlation Function and Business Cycle Turning Points: A Comparison with Markov Switching Approach

Authors

I. Medhioub, Ecole Supérieure de Commerce, BP 3018 Sfax, TunisiaFollow
H. Eleuch

Author Country (or Countries)

Tunisia

Abstract

We present a new technical approach based on the autocorrelation function, widely used in physics, to determine and to analyze the business cycle turning points of an economic activity. This method is adapted to stochastic processes and does not require a smoothing technique. The application of this method to the industrial production seasonally adjusted of Tunisia, for the period 1994:4 –2006:8 gives similar results to these obtained by two-state Markov switching model.

Suggested Reviewers

N/A

Recommended Citation

Medhioub, I. and Eleuch, H. (2013) "Correlation Function and Business Cycle Turning Points: A Comparison with Markov Switching Approach," Applied Mathematics & Information Sciences: Vol. 07: Iss. 2, Article 3.
Available at: https://digitalcommons.aaru.edu.jo/amis/vol07/iss2/3