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Testing for duration dependence in economic cycles

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  • Jonathan Ohn
  • Larry W. Taylor
  • Adrian Pagan

Abstract

In 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

Suggested Citation

  • Jonathan Ohn & Larry W. Taylor & Adrian Pagan, 2004. "Testing for duration dependence in economic cycles," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 528-549, December.
  • Handle: RePEc:ect:emjrnl:v:7:y:2004:i:2:p:528-549
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Briefer economic cycles
      by Salil Mehta in Statistical Ideas on 2014-03-04 07:34:00

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    Cited by:

    1. Claessens, Stijn & Kose, M. Ayhan & Terrones, Marco E., 2012. "How do business and financial cycles interact?," Journal of International Economics, Elsevier, vol. 87(1), pages 178-190.
    2. Rose Cunningham & Ilan Kolet, 2007. "Housing Market Cycles and Duration Dependence in the United States and Canada," Staff Working Papers 07-2, Bank of Canada.
    3. Çakmaklı, Cem & Paap, Richard & van Dijk, Dick, 2013. "Measuring and predicting heterogeneous recessions," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2195-2216.
    4. Oglend, Atle & Selland Kleppe, Tore, 2016. "How regular are directional movements in commodity and asset prices? A Wald test," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 290-306.
    5. Castro, Vítor, 2010. "The duration of economic expansions and recessions: More than duration dependence," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 347-365, March.
    6. 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.
    7. Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne.
    8. Richard G. Anderson & Marcelle Chauvet & Barry Jones, 2015. "Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 228-254, February.
    9. Sèna Kimm Gnangnon, 2012. "An analysis of duration dependence of government revenue expansions and contractions in Developing Countries," Working Papers halshs-00722083, HAL.
    10. 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.
    11. 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.
    12. Vítor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," NIPE Working Papers 11/2011, NIPE - Universidade do Minho.
    13. 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.
    14. Bracke, Philippe, 2013. "How long do housing cycles last? A duration analysis for 19 OECD countries," Journal of Housing Economics, Elsevier, vol. 22(3), pages 213-230.
    15. repec:bla:irvfin:v:17:y:2017:i:3:p:427-450 is not listed on IDEAS

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