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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Citations
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
Cited by
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Perron, P. (1989) · Econometrica · doi:10.2307/1913712 · Cited by 7,732
Electricity price forecasting: A review of the state-of-the-art with a look into the future
Weron, R. (2014) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2014.08.008 · Cited by 1,646
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
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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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.
