Statistical Modeling of Duration Dependence in Business Cycles Using a Modulated Power Law Process

Applying the modulated power law process, a generalized model which is a compromise between a renewal process and a nonhomogeneous Poisson process, we find the presence of positive duration dependence in all samples, although the magnitudes vary from sample to sample. A goodness-of-fit test rejects the renewal process assumption which was used in many previous studies, and suggests that a more general model such as the modulated power law process is needed

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Year of publication:	2005
Authors:	Zhou, Haigang ; Rigdon, Steven E.
Publisher:	[S.l.] : SSRN
Subject:	Konjunktur \| Business cycle \| Theorie \| Theory \| Dauer \| Duration \| Zeitreihenanalyse \| Time series analysis \| Statistische Bestandsanalyse \| Duration analysis

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