Business cycle dynamics with duration dependence and leading indicators

Journal of Macroeconomics

Volumn 29, Issue 4, 2007, Pages 855-875

  Layton, Allan P ^a   Smith, Daniel R ^b  

^a UNIVERSITY OF SOUTHERN QUEENSLAND   (Australia)

^b SIMON FRASER UNIVERSITY   (Canada)

Author keywords

Business cycle; Duration; Leading indicators; Multinomial logit; Regime shift

Indexed keywords

EID: 35548951251     PISSN: 01640704     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmacro.2006.02.003     Document Type: Article

References (21)

1. Diebold F.X., and Rudebusch G.D. A nonparametric investigation of duration dependence in the American business cycle. Journal of Political Economy 98 (1990) 596-616
2. Durland J.M., and McCurdy T.H. Duration-dependent transitions in a Markov model of US GNP growth. Journal of Business and Economic Statistics 12 (1994) 279-288
3. Estrella A., and Mishkin F.S. Predicting US recessions: Financial variables as leading indicators. Review of Economics and Statistics 80 (1998) 45-61
4. Filardo A.J. Business cycle phases and their transitional dynamics. Journal of Business and Economic Statistics 12 (1994) 299-308
5. Filardo A.J., and Gordon S.F. Business cycle durations. Journal of Econometrics 85 (1998) 99-123
6. Hamilton J. A new approach to the analysis of time series and the business cycle. Econometrica 57 (1989) 357-384
7. Lahiri K., and Moore G.H. Leading Economic Indicators (1991), Cambridge University Press, Cambridge
8. Layton A.P. A further test of the influence of leading indicators on the probability of US business cycle phase shifts. International Journal of Forecasting 14 (1998) 63-70
9. Layton A.P., and Katsuura M. Comparison of regime switching, probit and logit models in dating and forecasting US business cycles. International Journal of Forecasting 17 (2001) 403-417
10. Layton A.P., and Smith D. A further note on the three phases of the US business cycle. Applied Economics 32 (2000) 1133-1143
11. Moore G.H. Business Cycles Inflation and Forecasting. second ed. (1983), Ballinger Publishing for NBER, Cambridge, Mass
12. Moore G.H. Leading Indicators for the 1990s (1990), Dow Jones-Irwin, Homewood, IL, USA
13. Neftci S.N. Optimal prediction of cyclical downturns. Journal of Economic Dynamics and Control 4 (1982) 225-241
14. Neftci S.N. Are economic time series asymmetric over the business cycle. Journal of Political Economy 92 (1984) 307-328
15. Newey W.K., and West K.D. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55 (1987) 703-708
16. Pagan, A., 2005. Some econometric analysis of constructed binary time series, CAMA Working Paper 7/2005, May.
17. Sichel D.E. Business cycle duration dependence: A parametric approach. Review of Economics and Statistics 73 (1991) 254-260
18. Sichel D.E. Inventories and the three phases of the business cycle. Journal of Business and Economic Statistics 12 (1994) 269-277
19. Smith D.R., and Layton A.P. Comparing probability forecasts in Markov regime switching business cycle models. Journal of Business Cycle Measurement and Analysis 3 (2007) 71-89
20. Zarnowitz V., and Moore G.H. Sequential signals of recession and recovery. Journal of Business (1982) 57-85
21. Zuehlke T.W. Business cycle duration dependence reconsidered. Journal of Business and Economic Statistics 21 (2003) 564-569