Some statistical aspects of methods for detection of turning points in business cycles

Methods for online turning point detection in business cycles are discussed. The statistical properties of three likelihood-based methods are compared. One is based on a Hidden Markov Model, another includes a non-parametric estimation procedure and the third combines features of the other two. The methods are illustrated by monitoring a period of the Swedish industrial production. Evaluation measures that reflect timeliness are used. The effects of smoothing, seasonal variation, autoregression and multivariate issues on methods for timely detection are discussed.