Our paper is in the spirit of Rex Bergstrom's interests and research in cyclical growth models and his meticulous attention to underlying data series. We develop a new quarterly real GDP series for post–World War II New Zealand, derive a new “benchmark” set of classical business cycle turning points, and establish nonparametric classical cycle characteristics. Markov-switching models, estimated by Gibbs-sampling methods, are used to derive mean growth rate and volatility regimes and to add to existing knowledge. The resulting properties, involving cycle asymmetries, volatility, diversity and duration dependence, and differing mean growth rate and volatility regimes, can be used to underpin a next generation of cyclical growth models for New Zealand, in the Bergstrom tradition.
Does Hamilton’s OLS Regression Provide a “better alternative” to the Hodrick-Prescott Filter? A New Zealand Business Cycle Perspective