Resources on Business Cycle Economics

Here you will find non-exhaustive resources on Business Cycle theories, leading indicators, Business Cycle econometrics, econometric softwares and other connected materials. I quote also fascinating econometricians' websites that deeply influenced my modest research and quest to understand Business Cycle Economics.


Data, softwares and libraries

"Hans Martin KROLZIG's MSVAR", unavoidable web site for MSVAR and MS-VECM econometrics. Lots of papers, research and OX-library which deeply inspired my Gauss library.

Jurgen DOORNIK's Ox web site ", an impressive web site, full of resources for Ox programmers by the father of the Doornik-Hansen test.

MSVARlib 2.0,a generic Gauss library to estimate Multivariate Markov-Switching Regressions. Based on the Classical Estimation of Multivariate Markov-Switching Models using MSVARlib paper and open source GAUSS programs, version 2.0, downloadable.

GROCER, the Eric Dubois' Scilab Toolbox. GROCER is a comprehensive econometric libraries run on Scilab 3.0. It includes most standard econometric capabilities and some rare and useful ones such as a pc-gets like device, that performs automatic general to specific estimations. Econometricians, you should definitely have a look!

SCILAB, and R are the only two softwares I use to develop personal libraries and econometric applications. As they are interpreted matrix language, old Gauss or Ox programs such as MSVARlib can easily be translated.

The GAUSS Archive Index, the Ali Baba's cave for Gauss econometricians. Lots of routines in Statistics, Econometrics, State space model and Time series. Dates a bit.

Sebastien Laurent's OX routines , M@ximize is the bridge between Optmum and Ox, for Oxmetricians to run Gauss.

A Real-Time Data Set for Macroeconomists , the real-time data Base of the Phili-Fed,designed by Croushore and Stark. Look forward to crunching the same in Europe...


Business Cycle Web sites

The Chicago Fed National Activity Index, is the most direct successor of the Stock-Watson indexes. The Chicago Fed National Activity Index (CFNAI) is a monthly index constructed using 85 monthly indicators based on an extension of the methodology used to construct the original Stock-Watson XCI.

The Institute for Supply Management, releases the Manufacturing and Non Manufacturing ISM Index ( ex NAPM). The Manufacturing diffusion index is a big market movers. It has tracked the industrial business cycle for near 60 years.
Click here to download the latest Manufacturing report.

EUROCOIN, A coincident index for the Euro-zone, available through the CEPR is a monthly index constructed using 85 monthly indicators based on an extension of the methodology used to construct the original Stock-Watson XCI.

The ECRI, Economic Cycle Research Institute, the center on business cycle research funded by Geoffrey Moore. A bit too secretive, but a foolproof vision on the US business cycle.

The Conference Board Leading Economic Indicators, hosts the LEI (Leading Economic Index) and BCI (Business Coincident Index) first designed by G Moore.

INSEE , The conjunctural division of the French Statistical Institue hosts lots of resources on european business surveys
Click here to access to the european manufacturing turning point indicator based on the Gregoir and Lenglart (2000) methodology.

IFO , the german favourite index to gauge activity in industry, retail and wholesale sectors
Click here to download the IFO series.

ZEW ,provides a leading indicator for the German Economy, quite followed by the market. Highly correlated to the IFO, the ZEW Indicator of Economic Sentiment is ascertained monthly. Up to 350 financial experts take part in the survey.the german index to gauge activity in industry, retail and wholesale sectors
Click here to download the ZEW series.

NTC research, provides the European Purchaser Manager Index. a survey following the manufacturing, the cosntruction and the service sector as well. It is the worldwide counterpart of the Institue of Supply Management.


Business Cycle Econometricians

David HENDRY, resources and softwares on Automatic Selection Models and Econometric theory. You must get to know the Hendry's vision. Click here to access to the David Hendry's Research project on Ox.

James HAMILTON, resources and softwares on Markov Switching Models, Oil schocks and Econometric Theory.
Click here to access to Econbrowser, a truly interesting Blog run by James Hamilton, dealing with short term macro and oil economics.

James STOCK, resources and software on Kalman Filters, Instrumental regressions and Time series Forecasting.

Mark WATSON, resources on Factorial and Kalman filter models, Coincident and leading indexes.

Don HARDING , resources on Recession and Dating methdology.

Marcelle CHAUVET, resources on Dynamic Factorial Markov Switching Models and Kim's model applications.
Click here to access to updated indicator of Marcelle Chauvet.

Charles NELSON, resources on Markov Switching Models and State Space Models.
Click here to access the Gauss libraries of Kim and Nelson(1999).

 

 

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