Palgrave Handbook of Econometrics: Applied Econometrics

332 Economic Cycles β, captures the statistical dependence betweenS 2 andS 1. Our null hypothesis, H 0 :β=0, corresponds to stat ...

Joe Cardinale and Larry W. Taylor 333 060298949086827874706662585450 12 10 8 6 4 2 0 (Percent) Solid boxes represent NBER dated ...

334 Economic Cycles −0.55, and the average amplitude of upswings is 0.55 with a coefficient of vari- ation of 0.33. Since falls ...

Joe Cardinale and Larry W. Taylor 335 7.8.3 Duration analysis If expansions, or upswings, in the unemployment rate exhibitpositi ...

336 Economic Cycles 0 0.1 0.2 0.3 0.4 0.5 0.6 0 20406080100 Duration in months Hazard rates Life table Weibull Figure 7.4 Downsw ...

Joe Cardinale and Larry W. Taylor 337 rates. In each case, the Weibull hazards indicate positive duration dependence. On the oth ...

338 Economic Cycles serial dependence is infeasible once contractions are separated from expansions to eliminate heteroskedastic ...

Joe Cardinale and Larry W. Taylor 339 Table 7.3 Logit estimation: upswings in unemployment Variables Equation 1 Equation 2 Equat ...

340 Economic Cycles are the respective differences in the values of unemployment (UR), the manufac- turing capacity utilization ...

Joe Cardinale and Larry W. Taylor 341 autonomous-shift dummy variables or lagged term. For with a single intercept, there is a c ...

342 Economic Cycles Heckman and Singer (1984), Bover, Arellano and Bentolila (2002) then extend their logit model to account for ...

Joe Cardinale and Larry W. Taylor 343 SB: SET SB=0 IF THE EXPANSION CONTINUES, AND SET SB=1 IF THE EXPANSION TERMINATES. THUS, S ...

344 Economic Cycles Teräsvirta (2006) provides an overview of MS and other types of univariate nonlinear time series models. Ou ...

Joe Cardinale and Larry W. Taylor 345 References Adamchik, V. (1999) The effect of unemployment benefits on the probability of r ...

346 Economic Cycles Diebold, F.X. and G.D. Rudebusch (1990) A nonparametric investigation of duration dependence in the American ...

Joe Cardinale and Larry W. Taylor 347 Hodrick, R.J. and E.C. Prescott (1997) Postwar U.S. business cycles: an empirical investig ...

348 Economic Cycles Shapiro, S.S. and M.B. Wilk (1972) An analysis of variance test for the exponential distribution (complete s ...

8 The Long Swings Puzzle: What the Data Tell When Allowed to Speak Freely Katarina Juselius Abstract The persistent movements aw ...

350 The Long Swings Puzzle 8.9.3 The estimated driving forces 378 8.9.4 What did we gain from theI( 2 )analysis? 379 8.10 Conclu ...

Katarina Juselius 351 being able to structure and interpret the empirical results so that empirical regular- ities either suppor ...