Palgrave Handbook of Econometrics: Applied Econometrics

312 Economic Cycles with the inequality reversed for troughs. The algorithm ensures that peaks and troughs alternate, so that an ...

Joe Cardinale and Larry W. Taylor 313 the flexibility and transparency of BBQ to mark time. In particular, for the purpose of so ...

314 Economic Cycles nent component asPt=yt− 1 , the temporary effect is now the growth rate since zt=yt=yt−yt− 1. Marking time ...

Joe Cardinale and Larry W. Taylor 315 7.3 The discrete-time hazard function Duration data for economic cycles are invariably dis ...

316 Economic Cycles computer package LIMDEP 7.0 constructs such life tables, with an approximate, but intuitive, explanation of ...

Joe Cardinale and Larry W. Taylor 317 h(x) x CFR IFR IFRA NBU Figure 7.1 Hazard functions for various life distributions seasona ...

318 Economic Cycles 7.4 Testing for duration dependence The direction of duration dependence is easily obtained from a sample of ...

Joe Cardinale and Larry W. Taylor 319 7.4.2.1 The GMD test Mudambi and Taylor (1995) devise a generalized method of moments (GMM ...

320 Economic Cycles such incomplete observations are dropped from the sample. For the sub-sample of expansions, we consider inst ...

Joe Cardinale and Larry W. Taylor 321 squares estimator: 1 m m  t= 1 (St−S)dt− 1 (7.9) = 1 m m  t= 1 Stdt− 1 −Sd (7.10) = n m ...

322 Economic Cycles de Gracia (2003) segment the time line for Latin American and Asian countries to determine the effect of fin ...

Joe Cardinale and Larry W. Taylor 323 7.5.1 The logit model Following Allison (1984), letP(t)represent the discrete-time hazard ...

324 Economic Cycles converges to Cox’s (1972) continuous-time proportional hazards model. Cox’s model can be written as: logh(t) ...

Joe Cardinale and Larry W. Taylor 325 prior expansion and/or contraction should be included in the set of explana- tory variable ...

326 Economic Cycles is negative duration dependence; if flat, there is no duration dependence. However, the shape of the hazard ...

Joe Cardinale and Larry W. Taylor 327 7.6.1 Durations Assume that durations and amplitudes constitute random samples. If so, the ...

328 Economic Cycles whereAi=yTi−y 0. A benchmark forFiis the cumulative area under the hypotenuse depicted in Figure 7.2. The ar ...

Joe Cardinale and Larry W. Taylor 329 ̂I=1, and there isperfect negative synchronizationif̂I=0. Beyond the literature on nationa ...

330 Economic Cycles A multivariate version of the GMM test for severalS-series is presented by Harding and Pagan (2006), but wit ...

Joe Cardinale and Larry W. Taylor 331 Kontolemis and Osborn (1997) and Artis, Krolzig and Toro (2004) use either Pearson’s test ...