This paper develops a change-point model that can endogenously detect a structural shift in a time series of durations. The model is applied to NBER data on U.S. business cycle durations for expansions and contractions. There are two primary results. First, the change-point model endogenously detects a shift in the distribution for the phases of the U.S. business cycle around WWII. The pattern of duration dependence for both contractions and expansions correspond to earlier work, such as Diebold and Rudebusch (1990), Sichel (1991) and Zuehlke(2003), that exogenously split the sample at WWII. The second result is that the change-points for expansions and contractions generally occur earlier than WWII when controlling for various factors, such as the duration of the preceding half-cycle, wars and a trend variable. For expansions, the only significant explanatory variable is a trend, resulting in each successive expansion's hazard rate uniformly shifting down. For contractions, both a trend and the lagged duration of the preceding expansion are found, when estimated separately, to be significant. Controlling for a trend, contractions no longer exhibit positive duration dependence following the estimated change-point.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: