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Jump-and-Rest Effects of US Business Cycles

Pérez-Quirós, Gabriel and Maximo Camacho
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

No 4975, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: One of the most extended empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that the positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of autoregressive coefficients. This result is extremely robust to different non-linear alternative models and also applies not only to output, but also to the most relevant macroeconomic variables.

Keywords: Business cycles; Output growth; Time series (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Date: 2005-03
New Economics Papers: this item is included in nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (12)

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Related works:
Journal Article: Jump-and-Rest Effect of U.S. Business Cycles (2007) Downloads
Working Paper: Jump-and-rest effect of U.S. business cycles (2005) Downloads
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