Bry Boschan Routine

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sam2K
Posts: 2
Joined: Sun Apr 26, 2009 6:02 am

Bry Boschan Routine

Postby sam2K » Sun Apr 26, 2009 6:25 am

Hi everyone, I'm trying to create a leading indicator and I need the Bry Boschan Routine, this NBER method is for identifying economic cycles peaks and troughs and his turning points. have someone the algorithm for this?

Thanks!!

fmramos
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Location: Sao Paulo / Brazil
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Re: Bry Boschan Routine

Postby fmramos » Wed Apr 29, 2009 11:17 am

I have the same kind of interest. Usually I use OxMetrics/MSVAR by Krolzig to have peaks/throughs from markov-swichting regimes. I'd like to have a non-parametric one like B-B one. I know there's one routine in R, another in RATS or Gauss. I think its not so difficult to do, but I can't spend time now to create a .prg one. If u find something, could u tell us? I'll try to find it too. Fabio.

berten
Posts: 15
Joined: Wed Sep 09, 2009 11:23 am

Re: Bry Boschan Routine

Postby berten » Thu Jan 20, 2011 10:01 pm

Did anyone find this out? I am looking for the same B-B process. Thank you!

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Bry Boschan Routine

Postby EViews Gareth » Thu Jan 20, 2011 10:29 pm

There's no way to do it in EViews at the moment apart from writing your own program to do it. I have put it on the long term list of things for us to look into.
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berten
Posts: 15
Joined: Wed Sep 09, 2009 11:23 am

Re: Bry Boschan Routine

Postby berten » Fri Jan 21, 2011 5:22 pm

Thanks for your reply. Does anyone have an algorithm that they can share with me? I would appreciate it very much!

startz
Non-normality and collinearity are NOT problems!
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Joined: Wed Sep 17, 2008 2:25 pm

Bry Boschan Routine

Postby startz » Fri Jan 21, 2011 6:12 pm

If it helps, it may be possible to call the R routine from EViews.

Layon
Posts: 1
Joined: Sun Mar 20, 2011 12:42 pm

Re: Bry Boschan Routine

Postby Layon » Sun Mar 20, 2011 1:36 pm

Hello there,

I don't know whether you have found a solution in the meantime but a simple way to proceed is to use Scilab. Scilab is pretty much the same as Matlab, but it's open source.
http://www.scilab.org/en
Once this is installed you shall install the Grocer toolbox http://dubois.ensae.net/grocer.html
It's open source as well and it's quite a useful econometric toolbox for quite a lot of interests.
The Bry Boschan algorithm they coded seems to be fair enough.

Once again, considering it's been two years, you have probably found a solution but if you're still interested in leading series there's a simple non parametric test to determine whether a series is leading another one in case you don't know it.

dakila
Posts: 302
Joined: Tue Nov 24, 2015 4:57 pm

Re: Bry Boschan Routine

Postby dakila » Fri Dec 15, 2017 6:54 pm

It is done. Try the BBQ add-in.


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