Testing for duration dependence in economic cycles

In this paper, we discuss discrete-time tests for duration dependence. Two of our test statistics are new to the econometrics literature, and we make an important distinction between the discrete and continuous time frameworks. We then test for duration dependence in business and stock market cycles, and compare our results for business cycles with those of <link rid="b2 b3">Diebold and Rudebusch (1990, 1991)</link>. Our null hypothesis is that once an expansion or contraction has exceeded some minimum duration, the probability of a turning point is independent of its age--a proposition that dates back to <link rid="b7">Fisher (1925)</link> and <link rid="b15">McCulloch (1975)</link>. Copyright Royal Economic Socciety 2004