The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Abstract
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.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
A Simple Test for Heteroscedasticity and Random Coefficient Variation
Breusch, T. S., & Pagan, A. R. (1979) · Econometrica · doi:10.2307/1911963 · Cited by 5,647
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Growth Dynamics: The Myth of Economic Recovery
Cerra, V., & Saxena, S. C. (2008) · American Economic Review · doi:10.1257/aer.98.1.439 · Cited by 1,356
Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model
Veronesi, P. (1999) · Review of Financial Studies · doi:10.1093/rfs/12.5.975 · Cited by 998
The Rise and Potential of Large Language Model Based Agents: A Survey
Xi, Z., Chen, W., Guo, X., He, W., Ding, Y., Hong, B., Zhang, M., Wang, J., Jin, S., Zhou, E., et al. (2023) · arXiv · doi:10.48550/arxiv.2309.07864 · Cited by 972
The rise and potential of large language model based agents: a survey
Xi, Z., Chen, W., Guo, X., He, W., Ding, Y., Hong, B., Zhang, M., Wang, J., Jin, S., Zhou, E., et al. (2025) · Science China Information Sciences · doi:10.1007/s11432-024-4222-0 · Cited by 970
Diebold, F. X. (2015) · Journal of Business & Economic Statistics · doi:10.1080/07350015.2014.983236 · Cited by 496
Allowance price drivers in the first phase of the EU ETS
Hintermann, B. (2010) · Journal of Environmental Economics and Management · doi:10.1016/j.jeem.2009.07.002 · Cited by 441
A model of carbon price interactions with macroeconomic and energy dynamics
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Bianchi, F., & Melosi, L. (2017) · American Economic Review · doi:10.1257/aer.20160186 · Cited by 220
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Fiscal policy in good and bad times
Candelon, B., & Lieb, L. (2013) · Journal of Economic Dynamics and Control · doi:10.1016/j.jedc.2013.09.001 · Cited by 84
Hehlmann, M. I., Schwartz, B., Lutz, T., Gómez Penedo, J. M., Rubel, J. A., & Lutz, W. (2021) · Frontiers in Psychiatry · doi:10.3389/fpsyt.2021.613085 · Cited by 43
Money Growth, Money Velocity and Inflation in the US, 1948–2021
Castañeda, J. E., & Cendejas, J. L. (2024) · Open Economies Review · doi:10.1007/s11079-023-09739-0 · Cited by 12
Modelling central bank behaviour in Nigeria:A Markov-switching approach
Ayinde, T. O., Bankole, A. S., & Adeniyi, O. (2020) · Central Bank Review · doi:10.1016/j.cbrev.2020.11.001 · Cited by 6
Agentic Trading: When LLM Agents Meet Financial Markets
Xia, Y., You, P., Wang, T., Liu, F., Qi, H., Wu, X., & Zhang, S. (2026) · arXiv · doi:10.48550/arxiv.2605.19337 · Cited by 4
Metadata
- Authors
- Hamilton, J. D.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1989-03
- Volume
- 57
- Issue
- 2
- Pages
- 357
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2074812030
- Cited by
- 9,646
- References
- 3
- FWCI
- 75.78
- Type
- journal article
- Language
- en
- Open access
- closed
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