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Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle?

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  • Neftci, Salih N

Abstract

A. Burns and W. Mitchell (1946) considered business cycles as recurrent patterns in macroeconomic time series. This article develo ps formal ways of identifying the occurrence of such patterns and testi ng their significance. In particular, it calculates the probability tha t a linear time-series model that fits the data well can generate the patterns observed in macroeconomic time series.

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  • Neftci, Salih N, 1993. "Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle?," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 215-224, April.
    • Handle: RePEc:bes:jnlbes:v:11:y:1993:i:2:p:215-24
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    Cited by:

    1. Dijk, Dick van & Franses, Philip Hans, 1999. "Modeling Multiple Regimes in the Business Cycle," Macroeconomic Dynamics, Cambridge University Press, vol. 3(3), pages 311-340, September.
    2. Kunitomo, Naoto & Sato, Seisho, 1996. "Asymmetry in economic time series and the simultaneous switching autoregressive model," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 1-34, March.

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