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A nonparametric investigation of duration dependence in the American business cycle

  • Francis X. Diebold
  • Glenn D. Rudebusch

Does the termination probability of a business expansion or contraction increase with age? This question may be formally addressed by analyzing the nature of duration dependence in aggregate economic activity. The author's null hypothesis is that there is no duration dependence, which they test via intentionally nonparametric procedures. They also argue that a common notion of business cycle periodicity can be usefully interpreted in terms of whole-cycle duration dependence. The authors find some evidence for duration dependence in whole cycles and in prewar expansions, but little evidence elsewhere. Copyright 1990 by University of Chicago Press.

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Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Working Paper Series / Economic Activity Section with number 90.

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Date of creation: 1988
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Handle: RePEc:fip:fedgwe:90
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