A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.
This paper models occasional, discrete shifts in the growth rate of a nonstationary series. Algorithms for inferring these unobserved shifts are presented, a byproduct of which permits estimation of parameters by maximum likelihood. An empirical application of this technique suggests that the periodic shift from a positive growth rate to a negative growth rate is a recurrent feature of the U.S. business cycle, and indeed could be used as an objective criterion for defining and measuring economic recessions. The estimated parameter values suggest that a typical economic recession is associated with a 3 percent permanent drop in the level of GNP. Copyright 1989 by The Econometric Society.
Year of publication: |
1989
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Authors: | Hamilton, James D |
Published in: |
Econometrica. - Econometric Society. - Vol. 57.1989, 2, p. 357-84
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Publisher: |
Econometric Society |
Saved in:
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