Joe Cardinale and Larry W. Taylor 343SB: SET SB=0 IF THE EXPANSION CONTINUES, AND SET SB=1 IF THE
EXPANSION TERMINATES. THUS, SB=1 SIGNIFIES THE BEGINNING OF A
CONTRACTION. CENSORING IS OBTAINED BY ELIMINATING SOME OF
THE OBSERVATIONS WITH SB=0. TO IMPOSE A MINIMUM DURATION OF ONE
MONTH, ELIMINATE THE FIRST OBSERVATION OF EACH PHASE. TO IMPOSE
A MINIMUM DURATION OF TWO MONTHS, ELIMINATE THE FIRST TWO
OBSERVATIONS OF EACH PHASE, AND SO ON.
D1,D2,D3: AUTONOMOUS CHANGE DUMMY VARIABLES.
PHASE: SET PHASE=1 FOR THE FIRST EXPANSION, PHASE = 2 FOR THE
SECOND EXPANSION, AND SO ON, UP TO PHASE=L FOR THE LAST
EXPANSION, “L”.*/
LIST; SB,D1,D2,D3 $
NAMELIST; Z = D1,D2,D3 $ NAMES OF RIGHT-HAND-SIDE VARIABLES
REGRESS ; LHS = SB ; RHS=Z;PDS=5 $ ORDINARY LEAST SQUARES
LOGIT ; LHS = SB; RHS = Z $ LOGISTIC REGRESSION
CALC ; MP = MAX(PHASE) $ CALCULATE THE NUMBER OF PHASES
PROC
SAMPLE; ALL$
REJECT ; PHASE=I$ELIMINATE THE ITH PHASE.
REGRESS; LHS = SB; RHS=Z;PDS=5$
LOGIT ; LHS = SB; RHS=Z$ENDPROC
EXECUTE;I=1,MP $
STOP
Acknowledgments
We thank Bob Thornton and Terence Mills for useful suggestions. However, we alone are
responsible for any shortcomings of the work.
Notes
- For the reader interested in a concise discussion focused on measuring business cycles,
see Harding and Pagan (2008). - The NBER URL is http://www.nber.org/cycles.html.
- The Bry–Boschan (BB) program was originally designed for monthly data. James Engel,
Don Harding and Mark Watson have each written or modified GAUSS programs that are
similar to BB. The “Q” in the moniker BBQ stands for “quarterly” intervals even though
BBQ easily accommodates either monthly or quarterly intervals. Our BBQ program is a
derivative of the one written by Don Harding and is available upon request.