Abstract

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

Recommended Citation

Maximo Camacho and Gabriel Perez Quiros (2007) "Jump-and-Rest Effect of U.S. Business Cycles", Studies in Nonlinear Dynamics & Econometrics: Vol. 11: No. 4, Article 3.
http://www.bepress.com/snde/vol11/iss4/art3

Related Files

camacho_datacode.zip (119 kB)
Data and code