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Citations for "A Nonparametric Investigation of Duration Dependence in the American Business Cycle"

by Diebold, Francis X & Rudebusch, Glenn D

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  1. Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2010. "Financial Cycles: What? How? When?," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 303-343 National Bureau of Economic Research, Inc.
  2. Corrado Di Guilmi & Edoardo Gaffeo & Mauro Gallegati & Antonio Palestrini, 2004. "International evidence on business cycle magnitude dependence," Papers cond-mat/0401495, arXiv.org.
  3. Asger Lunde & Allan Timmermann, 2000. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Econometric Society World Congress 2000 Contributed Papers 1216, Econometric Society.
  4. Kiani, Khurshid M., 2016. "On business cycle fluctuations in USA macroeconomic time series," Economic Modelling, Elsevier, vol. 53(C), pages 179-186.
  5. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú.
  6. Klein, Michael W, 1996. "Timing Is All: Elections and the Duration of United States Business Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 84-101, February.
  7. Vitor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," GEMF Working Papers 2011-07, GEMF - Faculdade de Economia, Universidade de Coimbra.
  8. Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
  9. Francis X. Diebold & Glenn D. Rudebusch, 1991. "Have postwar economic fluctuations been stabilized?," Working Paper Series / Economic Activity Section 116, Board of Governors of the Federal Reserve System (U.S.).
  10. de Bruijn, L.P. & Franses, Ph.H.B.F., 2015. "Stochastic levels and duration dependence in US unemployment," Econometric Institute Research Papers EI2015-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  11. Viv B Hall & C. John McDermott, 2005. "Regional business cycles in New Zealand:Do they exist? What might drive them?," Urban/Regional 0509013, EconWPA.
  12. Castro, Vítor, 2008. "The duration of economic expansions and recessions : More than duration dependence," The Warwick Economics Research Paper Series (TWERPS) 860, University of Warwick, Department of Economics.
  13. Hillier, Brian & Rougier, Jonathan, 1999. "Real Business Cycles, Investment Finance, and Multiple Equilibria," Journal of Economic Theory, Elsevier, vol. 86(1), pages 100-122, May.
  14. Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
  15. Nuri Yildirim, 2015. "A Survival Analysis of the Contraction Phases of Business Cycles in Industrial Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(5), pages 557-579, December.
  16. 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.
  17. Geert Bekaert & Alexander Popov, 2012. "On the Link Between the Volatility and Skewness of Growth," NBER Working Papers 18556, National Bureau of Economic Research, Inc.
  18. KIANI, Khurshid M., 2007. "Business Cycle Asymmetries In Stock Returns: Robust Evidence," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 4(2), pages 99-120.
  19. Chang-Jin Kim & Chris Murray, 1999. "Permanent and Transitory Nature of Recessions," Discussion Papers in Economics at the University of Washington 0041, Department of Economics at the University of Washington.
  20. Terence Mills, 2001. "Business cycle asymmetry and duration dependence: An international perspective," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(6), pages 713-724.
  21. Maurizio Bovi, 2003. "Nonparametric Analysis Of The International Business Cycles," ISAE Working Papers 37, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  22. Issler, João Victor & Notini, Hilton Hostalácio & Rodrigues, Claudia Oliveira da Fontoura, 2009. "Constructing coincident and leading indices of economic activity for the brazilian economy," Economics Working Papers (Ensaios Economicos da EPGE) 694, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  23. Abderrezak, Ali, 1998. "On the Duration of Growth Cycles: An International Study," International Review of Economics & Finance, Elsevier, vol. 7(3), pages 343-355.
  24. Timothy Cogley, 1997. "Evaluating non-structural measures of the business cycle," Economic Review, Federal Reserve Bank of San Francisco, pages 3-21.
  25. Ghysels, E., 1992. "Charistmas, Spring and the Dawning of Economic Recovery," Cahiers de recherche 9215, Universite de Montreal, Departement de sciences economiques.
  26. Philippe Bracke, 2011. "How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries," IMF Working Papers 11/231, International Monetary Fund.
  27. A. Pagan & J. Engel & D. Haugh, 2004. "Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting," Econometric Society 2004 Australasian Meetings 284, Econometric Society.
  28. Popov, Alexander, 2014. "Credit constraints, equity market liberalization, and growth rate asymmetry," Journal of Development Economics, Elsevier, vol. 107(C), pages 202-214.
  29. Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460 Elsevier.
  30. Hiroshi Iyetomi & Yasuhiro Nakayama & Hiroshi Yoshikawa & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma, 2009. "What Causes Business Cycles? Analysis of the Japanese Industrial Production Data," Papers 0912.0857, arXiv.org, revised Nov 2010.
  31. Hunt, Julien & Devolder, Pierre, 2011. "Semi-Markov regime switching interest rate models and minimal entropy measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3767-3781.
  32. C. John McDermott & Paul Cashin & Alasdair Scott, 1999. "Booms and Slumps in World Commodity Prices," IMF Working Papers 99/155, International Monetary Fund.
  33. Camacho, Maximo & Pérez Quirós, Gabriel, 2000. "This is what the US leading indicators lead," Working Paper Series 0027, European Central Bank.
  34. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," Caepr Working Papers 2007-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  35. Ángel Guillén & Gabriel Rodríguez, 2013. "Trend-cycle decomposition for Peruvian GDP: Application of an alternative method," Documentos de Trabajo / Working Papers 2013-368, Departamento de Economía - Pontificia Universidad Católica del Perú.
  36. Iyetomi, Hiroshi & Nakayama, Yasuhiro & Yoshikawa, Hiroshi & Aoyama, Hideaki & Fujiwara, Yoshi & Ikeda, Yuichi & Souma, Wataru, 2011. "What causes business cycles? Analysis of the Japanese industrial production data," Journal of the Japanese and International Economies, Elsevier, vol. 25(3), pages 246-272, September.
  37. Ghysels, Eric, 1997. "On seasonality and business cycle durations: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 79(2), pages 269-290, August.
  38. Khurshid Kiani, 2005. "Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models," Computational Economics, Society for Computational Economics, vol. 26(1), pages 65-89, August.
  39. Glenn D. Rudebusch, 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Working Papers in Applied Economic Theory 95-02, Federal Reserve Bank of San Francisco.
  40. Matteo M. Pelagatti, 2005. "Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications," Econometrics 0503008, EconWPA.
  41. Lars-Erik Öller & Lasse Koskinen, 2004. "A classifying procedure for signalling turning points," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 197-214.
  42. Lixin Cai, 2004. "An Analysis of Durations on the Disability Support Pension (DSP) Program," Melbourne Institute Working Paper Series wp2004n08, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  43. Rossen, Anja, 2015. "What are metal prices like? Co-movement, price cycles and long-run trends," Resources Policy, Elsevier, vol. 45(C), pages 255-276.
  44. Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne.
  45. C. John McDermott & Alasdair Scott, 2000. "Concordance in Business Cycles," IMF Working Papers 00/37, International Monetary Fund.
  46. 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.
  47. McKay, Alisdair & Reis, Ricardo, 2008. "The brevity and violence of contractions and expansions," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 738-751, May.
  48. Roberts, Mark C., 2009. "Duration and characteristics of metal price cycles," Resources Policy, Elsevier, vol. 34(3), pages 87-102, September.
  49. Qinghua Zhang & Li Gan, 2004. "The thick market effect of local unemployment rate fluctuation," Econometric Society 2004 North American Winter Meetings 179, Econometric Society.
  50. Michael T. Owyang & Abbigail J. Chiodo, 2002. "Duration dependence in monetary policy: international evidence," Working Papers 2002-021, Federal Reserve Bank of St. Louis.
  51. Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
  52. Layton, Allan P. & Smith, Daniel R., 2007. "Business cycle dynamics with duration dependence and leading indicators," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 855-875, December.
  53. Sarlan, Haldun, 2001. "Cyclical aspects of business cycle turning points," International Journal of Forecasting, Elsevier, vol. 17(3), pages 369-382.
  54. Iiboshi, Hirokuni, 2007. "Duration dependence of the business cycle in Japan: A Bayesian analysis of extended Markov switching model," Japan and the World Economy, Elsevier, vol. 19(1), pages 86-111, January.
  55. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
  56. Matteo Pelagatti, 2003. "Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application," Working Papers 20051101, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised Nov 2005.
  57. Harding, Don, 2002. "The Australian Business Cycle: A New View," MPRA Paper 3698, University Library of Munich, Germany.
  58. Moreno Cuartas, Blanca & López Menéndez, Ana Jesús, 2007. "Las Opiniones Empresariales Como Predictores De Los Puntos De Giro Del Ciclo Industrial/Forescasting Turning Points of the Industrial Cycle from Business Expectation Surveys," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 25, pages 511-528, Abril.
  59. Di Guilmi, C. & Gaffeo, E. & Gallegati, M. & Palestrini, A., 2005. "International Evidence on Business Cycle Magnitude Dependence: An Analyisis of 16 Industrialized Countries, 1881-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(1), pages 5-16.
  60. 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.
  61. C. O'Sullivan, 1993. "What Everyone Needs to Know About the Australian Business Cycle," Economics Discussion / Working Papers 93-21, The University of Western Australia, Department of Economics.
  62. Ramón Cobo-Reyes & Gabriel Pérez Quirós, 2005. "The effect of oil price on industrial production and on stock returns," ThE Papers 05/18, Department of Economic Theory and Economic History of the University of Granada..
  63. Cochran, Steven J. & DeFina, Robert H., 1996. "Predictability in real exchange rates: Evidence from parametric hazard models," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 125-147.
  64. Cover, James P. & Pecorino, Paul, 2005. "The length of US business expansions: When did the break in the data occur?," Journal of Macroeconomics, Elsevier, vol. 27(3), pages 452-471, September.
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