Models to Date the Business Cycle: the Italian Case

The problem of dating the business cycle has recently received many contributions, with a lot of proposed statistical
methodologies, parametric and non-parametric. In general, these methods are not used in official dating, which is carried out by
experts, who use their subjective evaluations of the state of economy. In this work we try to apply some statistical procedures to obtain
an automatic dating of the Italian business cycle in the last 30 years, checking differences among various methodologies and with the
ISAE chronology. The purpose of this exercise is to verify if purely statistical methods can reproduce the turning points detection
proposed by economists, so that they could be fruitfully used in official dating. To this end parametric as well as non-parametric
methods are employed. The analysis is carried out both aggregating results from single time series and directly in a multivariate
framework. The different methods are also evaluated with respect to their ability to timely track (ex post) turning points.