Measuring Business Cycles: A Modern Perspective

Francis Diebold and Glenn Rudebusch

No 4643, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In the first half of this century, special attention was given to two features of the business cycle: (1) the comovement of many individual economic series and (2) the different behavior of the economy during expansions and contractions. Both of these attributes were ignored in many subsequent business cycle models, which were often linear representations of a single macroeconomic aggregate. However, recent theoretical and empirical research has revived interest in each attribute separately. Notably, dynamic factor models have been used to obtain a single common factor from a set of macroeconomic variables, and nonlinear models have been used to describe the regime-switching nature of aggregate output. We survey these two strands of research and then provide some suggestive empirical analysis in an effort to unite the two literatures and to assess their usefulness in a statistical characterization of business- cycle dynamics.

JEL-codes: E32 (search for similar items in EconPapers)
Date: 1994-02
Note: EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Published as Review of Economics and Statistics, vol., LXXVIII, no. 1, February 1996, pp . 67-77

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Related works:
Journal Article: Measuring Business Cycles: A Modern Perspective (1996)
Working Paper: Measuring Business Cycle: A Modern Perspective
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