We consider the seasonal distribution of turning points in the post-war growth cycles of sixteen economies. Using nonparametric tests for distributions on the circle, we cannot reject the hypothesis of a uniform distribution for the turning points for most of the countries. In the case of...

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

This paper develops a Lagrange multiplier test statistic and its variants to test for the null hypothesis of no asymmetric effects of shocks on time series. In asymmetric time series models that allow for different responses to positive and negative past shocks the likelihood functions are, in...

In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of...

Recurrent boom-and-bust cycles are a salient feature of economic and finan- cial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as “long”. In this paper, we develop a novel approach to...

Business cycles and economic growth have long been studied separately, hindering understanding of the nature and causes of economic fluctuations and growth. Here, we present an economic model that incorporates both deterministic trends and persistent fluctuations, derived from a general economic...

Procedures are developed to compute the proportion of turning points located in the sample path of time series data. It is shown that the proportion of turning points can be directly related to the data generating process. Methods for estimating model parameters are developed using counts of...

Unobserved components time series models decompose a time series into a trend, a season, a cycle, an irregular disturbance, and possibly other components. These models have been successfully applied to many economic time series. The standard assumption of a linear model, often appropriate after...

The production index is an important indicator for assessing the cyclical state of the economy. Unfortunately, the monthly time series is contaminated by many noisy components like seasonal variations, calendar and vacation effects. Only part of those nuisance components are explicitly...

Unobserved components time series models decompose a time series into a trend, a season, a cycle, an irregular disturbance, and possibly other components. These models have been successfully applied to many economic time series. The standard assumption of a linear model, often appropriate after...