The DOI matches its Crossref record; 21 of the 21 references it cites were found in a registry or an index.
Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching
Abstract
The synthesis of the dynamic factor model of Stock and Watson (1989) and the regime-switching model of Hamilton (1989) proposed by Diebold and Rudebusch (1996) potentially encompasses both features of the business cycle identified by Burns and Mitchell (1946): (1) comovement among economic variables through the cycle and (2) nonlinearity in its evolution. However, maximum-likelihood estimation has required approximation. Recent advances in multimove Gibbs sampling methodology open the way to approximation-free inference in such non-Gaussian, nonlinear models. This paper estimates the model for U.S. data and attempts to address three questions: Are both features of the business cycle empirically relevant? Might the implied new index of coincident indicators be a useful one in practice? Do the resulting estimates of regime switches show evidence of duration dependence? The answers to all three would appear to be yes.
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Citations
Cites
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Hamilton, J. D. (1989) · Econometrica · doi:10.2307/1912559 · Cited by 9,646
Sampling-based approaches to calculating marginal densities
Gelfand, A. E., & Smith, A. F. M. (1990) · Journal of the American Statistical Association · doi:10.1080/01621459.1990.10476213 · Cited by 6,606
Journal of The American Statistical Association
Fienberg, S. E. (2005) · Encyclopedia of Statistical Sciences · doi:10.1002/0471667196.ess1317 · Cited by 6,125
Variable Selection via Gibbs Sampling
George, E. I., & McCulloch, R. E. (1993) · Journal of the American Statistical Association · doi:10.1080/01621459.1993.10476353 · Cited by 2,828
On Gibbs sampling for state space models
CARTER, C. K., & KOHN, R. (1994) · Biometrika · doi:10.1093/biomet/81.3.541 · Cited by 1,917
New Indexes of Coincident and Leading Economic Indicators
Stock, J. H., & Watson, M. W. (1989) · NBER Macroeconomics Annual · doi:10.1086/654119 · Cited by 1,772
Wright, D. M., Burns, A. F., & Mitchell, W. C. (1947) · Southern Economic Journal · doi:10.2307/1052315 · Cited by 1,481
Dynamic linear models with Markov-switching
Kim, C.-J. (1994) · Journal of Econometrics · doi:10.1016/0304-4076(94)90036-1 · Cited by 1,434
Self-citationNon-Gaussian State—Space Modeling of Nonstationary Time Series
Kitagawa, G. (1987) · Journal of the American Statistical Association · doi:10.1080/01621459.1987.10478534 · Cited by 922
Business-Cycle Phases and Their Transitional Dynamics
Filardo, A. J. (1994) · Journal of Business and Economic Statistics · doi:10.1080/07350015.1994.10524545 · Cited by 873
Cited by
A new coincident index of business cycles based on monthly and quarterly series
Mariano, R. S., & Murasawa, Y. (2003) · Journal of Applied Econometrics · doi:10.1002/jae.695 · Cited by 631
(2016) · Handbook of Macroeconomics · doi:10.1016/bs.hesmac.2016.04.002 · Cited by 428
Stock, J. H., & Watson, M. W. (2012) · The Oxford Handbook of Economic Forecasting · doi:10.1093/oxfordhb/9780195398649.013.0003 · Cited by 374
Norouzi, N., Zarazua de Rubens, G., Choupanpiesheh, S., & Enevoldsen, P. (2020) · Energy Research & Social Science · doi:10.1016/j.erss.2020.101654 · Cited by 303
Metadata
- Authors
- Kim, C.-J., & Nelson, C. R.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press
- Published
- 1998-05
- Volume
- 80
- Issue
- 2
- Pages
- 188-201
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2106038542
- Cited by
- 469
- References
- 21
- FWCI
- 25.80
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching. https://app.cochat.ai/papers/10.1162/003465398557447
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- Kim, C.-J., & Nelson, C. R. (1998). Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching. Review of Economics and Statistics. https://doi.org/10.1162/003465398557447
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
