Testing for duration dependence in economic cycles
AbstractIn this paper, we discuss discrete-time tests for duration dependence. Two of our test statistics are new to the econometrics literature, and we make an important distinction between the discrete and continuous time frameworks. We then test for duration dependence in business and stock market cycles, and compare our results for business cycles with those of Diebold and Rudebusch (1990, 1991) . Our null hypothesis is that once an expansion or contraction has exceeded some minimum duration, the probability of a turning point is independent of its age--a proposition that dates back to Fisher (1925) and McCulloch (1975) . Copyright Royal Economic Socciety 2004
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 7 (2004)
Issue (Month): 2 (December)
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:CitEc Project, subscribe to its RSS feed for this item.
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"Measuring and Predicting Heterogeneous Recessions,"
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2010-18, GEMF - Faculdade de Economia, Universidade de Coimbra.
- Vitor Castro, 2013. "The duration of business cycle expansions and contractions: are there change-points in duration dependence?," Empirical Economics, Springer, vol. 44(2), pages 511-544, April.
- Vítor Castro, 2010. "The duration of business cycle expansions and contractions: Are there change-points in duration dependence?," NIPE Working Papers 24/2010, NIPE - Universidade do Minho.
- Richard G. Anderson & Barry Jones & Marcelle Chauvet, 2013. "Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy," Working Papers 2013-018, Federal Reserve Bank of St. Louis.
- Rose Cunningham & Ilan Kolet, 2007. "Housing Market Cycles and Duration Dependence in the United States and Canada," Working Papers 07-2, Bank of Canada.
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- Vítor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," NIPE Working Papers 11/2011, NIPE - Universidade do Minho.
- Viv B. Hall & C. John McDermott, 2006. "The New Zealand Business Cycle: Return To Golden Days?," CAMA Working Papers 2006-21, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Adrian pagan & Don Harding, 2006. "The Econometric Analysis of Constructed Binary Time Series. Working paper #1," NCER Working Paper Series 1, National Centre for Econometric Research.
- Adrian Pagan, 2005. "Some Econometric Analysis Of Constructed Binary Time Series," CAMA Working Papers 2005-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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