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From |
Natasha Xingyuan Che <ilovewordsworth@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: How to identify patterns of cyclicality using STATA? |

Date |
Thu, 10 Nov 2011 18:33:43 -0500 |

Thanks, Nick! This is quite helpful. I'm using a combination of your suggestion and Kit's suggestion right now. He is going to write up his approach as a stata tip. Thanks again! -Natasha On 11/9/11, Nick Cox <n.j.cox@durham.ac.uk> wrote: > The other part of Natasha's question was to identify periods of recovery. > > Y at the previous peak is > > gen ypp = y if peak > replace ypp = ypp[_n-1] if missing(ypp) > > So the code should be something like > > gen recovery = 0 > replace recovery = cond(recovery[_n-1] == 0 & peak, 1, cond(recovery[_n-1] > == 1 & (y >= ypp), 0, recovery[_n-1])) if _n > 1 > > which can all be done panelwise. However, this is not tested. > > Nick > n.j.cox@durham.ac.uk > > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox > Sent: 09 November 2011 10:17 > To: 'statalist@hsphsun2.harvard.edu' > Subject: RE: st: RE: How to identify patterns of cyclicality using STATA? > > Kit closed the thread, but I am going to open it again as Kit has not yet > made his solution public and I have a corrected solution that may be of > interest of others. > > We have an indicator -peak- for peaks and an indicator -trough- for troughs. > > Natasha pointed out that although a trough closes a phase, -sum(peak-trough) > == 1- fails as a criterion for being in a phase because there can be one or > more peaks between the peak starting the phase and the trough finishing it. > She could have added, presumably, that there can be troughs before any peak > that do not terminate a phase. > > Fair enough. Please consider > > gen phase = 0 > replace phase = cond(phase[_n-1] == 0 & peak, 1, cond(phase[_n-1] == 1 & > trough, 0, phase[_n-1])) if _n > 1 > > So the rules are > > 1. Initialise to 0. > > 2. Change your mind if we are not in phase and this observation is a peak > (we've started) > _or_ if we are in phase and this observation is a trough (we've stopped). > > 3. Phase is what it was previously otherwise. > > Note that the first observation needs care and that we can do this panelwise > by prefixing > > by country: > > Then I think it is over to spell machinery. > > Nick > n.j.cox@durham.ac.uk > > Kit Baum > > As it happens I was able to consult with Natasha face-to-face this > afternoon, and we came up with a workable strategy to deal with this and > other complications that arose in discussing her needs. I will write up a > stylized version of that solution as a Stata Tip. Please consider the thread > closed. > > Natasha Xingyuan Che > > That was very helpful. Thanks. But here is one additional > complication in this specific example. The cycles are not always in > symmetry, i.e., there are more peaks than troughs. For example, the > two variables identifying peak and trough can look like this: > > peak trough > 0 0 > 1 0 > 0 0 > 0 0 > 1 0 > 0 0 > 0 1 > 0 0 > 0 0 > > Now if I apply what you suggested: (gen period = sum(peak - trough)). > The variable "period" would be equal to 1 for the spell between 1st > and 2nd peak and the spell after the trough. But the recession is > actually the spell between the 2nd peak and the trough, for which the > variable "period" would be equal to 2. > > I think the bottom line is I need to identify only those peaks that > are followed by a trough in some future date. Do you have any > suggestions on how to do that? Many thanks! > > Nick Cox > >> Check out >> >> SJ-7-2 dm0029 . . . . . . . . . . . . . . Speaking Stata: Identifying >> spells >> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. J. >> Cox >> Q2/07 SJ 7(2):249--265 (no >> commands) >> shows how to handle spells with complete control over >> spell specification >> >> and -tsspell- (SSC) >> >> for some Stata technique in this area. >> >> Your first question appears to be answered, at least roughly, by >> >> bysort country (time) : gen period = sum(peak - trough) >> tsspell , cond(period == 1) > > Natasha Xingyuan Che > >> I'm trying to identify business cycle peaks, troughs, and phases of >> recession and recovery in a panel data set of countries's quarterly >> output series. I identified peaks and troughs, but am having trouble >> marking the periods in between (i.e., recessions and recoveries). I >> would really appreciate it if any of you have suggestions about how to >> do this. >> >> The specific definitions of the variables are the following -- >> >> A peak occurs at Quarter t of a time series of Y_t if: >> (Y_t - Y_t-1) > 0 and (Y_t - Y_t-2) > 0 and (Y_t - Y_t+1) > 0 and (Y_t >> - Y_t+2) > 0 >> >> A trough occurs at Quarter t if: >> (Y_t - Y_t-1) < 0 and (Y_t - Y_t-2) < 0 and (Y_t - Y_t+1) < 0 and (Y_t >> - Y_t+2) < 0 >> >> A "recession" is a phase from peak to the next trough. A "recovery" >> is a phase from trough to the quarter when Y reaches the level of the >> previous peak. >> >> I generated two 0/1 variables, peak and trough, as the following -- >> >> tsset country time >> gen peak=(lny>l.lny&lny>l2.lny&lny>f.lny&lny>f2.lny) >> gen trough=(lny<l.lny&lny<l2.lny&lny<f.lny&lny<f2.lny) >> >> Now I want to generate two variables marking the quarters when the >> economy is in recession and in recovery and calculate the respective >> duration of the two. But I'm not sure how to proceed. Again, all >> your inputs are very much appreciated. Thank you so much for your >> help! > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: How to identify patterns of cyclicality using STATA?***From:*Natasha Xingyuan Che <ilovewordsworth@gmail.com>

**st: RE: How to identify patterns of cyclicality using STATA?***From:*Nick Cox <n.j.cox@durham.ac.uk>

**Re: st: RE: How to identify patterns of cyclicality using STATA?***From:*Natasha Xingyuan Che <ilovewordsworth@gmail.com>

**RE: st: RE: How to identify patterns of cyclicality using STATA?***From:*Nick Cox <n.j.cox@durham.ac.uk>

**RE: st: RE: How to identify patterns of cyclicality using STATA?***From:*Nick Cox <n.j.cox@durham.ac.uk>

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