Measuring and comparing business-cycle features

Journal of Business and Economic Statistics

Volumn 15, Issue 4, 1997, Pages 432-444

  Hess, Gregory D ^a,b   Iwata, Shigeru ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF KANSAS   (United States)

Author keywords

Amplitude; Contraction; Duration; Monte Carlo; Peak; Random walk with drift

Indexed keywords

EID: 0001660088     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1997.10524721     Document Type: Article

References (31)

1. Beaudry, P., and Koop, G. (1993), “Do Recessions Permanently Change Output?” Journal of Monetary Economics, 31, 149-163.
2. Blanchard, O. J. (1981), “What is Left of the Multiplier-Accelerator?” American Economic Association Papers and Proceedings, 71, 150-154.
3. Boldin, M. D. (1990), “Characterizing Business Cycles With a Markov Switching Model: Evidence of Multiple Equilibria,” unpublished manuscript, Federal Reserve Bank of New York.
4. Brunner, A. D. (1992), “Conditional Asymmetries in Real GNP: A Semi-nonparametric Approach,” Journal of Business & Economic Statistics, 10, 65-72.
5. Bums, A., and Mitchell, W. (1947), Measuring Business Cycles, New York: National Bureau of Economic Research.
6. Campbell, J. Y., and Mankiw, N. G. (1987), “Are Output Fluctuations Transitory?” Quarterly Journal of Economics, 102, 857-880.
7. Cogley, T., and Nason, J. M. (1995), “Output Dynamics in Real-Business-Cycle Models,” American Economic Review, 85, 492-511.
8. Conover, W. J. (1972), “A Kolmogorov Goodness-of-Fit Test for Discontinuous Distributions,” Journal of the American Statistical Association, 67, 591-596.
9. DeLong, J. B., and Summers, L. H. (1986), “Are Business Cycles Symmetrical?” in American Business Cycle: Continuity and Change, ed. R. J. Gordon, Chicago: The University of Chicago Press, pp 166-179.
10. Filardo, A. (1994), “Business Cycle Phases and Their Transitional Dynamics,” Journal of Business & Economic Statistics, 12, 299-308.
11. Fleishman, A. (1978), “A Method for Simulating Non-Normal Distributions,” Psychometrika, 43, 521-532.
12. French, M. W., and Sichel, D. E. (1993), “Cyclical Patterns in the Variance of Economic Activity,” Journal of Business & Economic Statistics, 11, 113-119.
13. Hamilton, J. D. (1989), “A New Approach to the Economic Analysis of Non-stationary Time Series and the Business Cycle,” Econometrica, 57, 357-384.
14. Hansen, B. (1993), Comments on “Further Evidence on Business Cycle Duration Dependence” by F. X. Diebold et al., in Business Cycles, Indicators, and Forecasting, eds., J. H. Stock and M. W. Watson, Chicago: The University of Chicago Press, pp. 280-284.
15. Hess, G. D., and Iwata, S. (1995), “Asymmetric Persistence in GDP? A Deeper Look at Depth,” unpublished manuscript, University of Kansas, Dept, of Economics.
16. King, R. G., and Plosser, C. I. (1994), “Real Business Cycles and the Test of the Adelmans,” Journal of Monetary Economics, 33, 405-438.
17. Neftci, S. N. (1984), “Are Economic Time Series Asymmetric Over the Business Cycle?” Journal of Political Economy, 92, 307-328.
18. Neftci, S. N. (1993), “Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle?” Journal of Business & Economic Statistics, 11, 215-224.
19. Nelson, C. R., and Plosser, C. I. (1982), “Trends and Random Walks in Macro-economic Time Series: Some Evidence and Implications,” Journal of Monetary Economics, 10, 139-162.
20. Noether, G. E. (1963), “Note on the Kolmogorov Statistic in the Discrete Case,” Metrica, 1, 115-116.
21. Pagan, A. (in press), “Towards an Understanding of Some Business Cycle Characteristics,” Australian Economic Review.
22. Perron, P. (1989), “The Great Crash, the Oil Shock, and the Unit Root Hypothesis,” Econometrica, 57, 1361-1401.
23. Pesaran, H., and Potter, S. (1994), “A Floor and Ceiling Model of U.S. Output,” Working Paper 9407, University of Cambridge, Dept, of Applied Economics.
24. Potter, S. (1995), “A Nonlinear Approach to U.S. GNP,” Journal of Applied Econometrics, 10, 109-126.
25. Romer, C. D. (1994), “Remeasuring Business Cycles,” Journal of Economic History, 54, 573-609.
26. Sichel, D. E. (1989), “Are Business Cycles Asymmetric? A Correction,” Journal of Political Economy, 97, 1255-1260.
27. Sichel, D. E. (1993), “Business Cycle Asymmetry: A Deeper Look,” Economic Inquiry, 31, 224-236.
28. Sichel, D. E. (1994), “Inventories and the Three Phases of the Business Cycle,” Journal of Business & Economic Statistics, 12, 269-278.
29. Simkins, S. P. (1994), “Do Real Business Cycle Models Really Exhibit Business Cycle Behavior?” Journal of Monetary Economics, 33, 381-404.
30. Steigerwald, D. G. (1992), “On the Finite Sample Behavior of Adaptive Estimators,” Journal of Econometrics, 54, 371-400.
31. Stock, J. H., and Watson, M. W. (1993), “A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Performance,” in Business Cycles, Indicators, and Forecasting, eds., J. H. Stock and M. W. Watson, Chicago: The University of Chicago Press, pp. 95-153.