A01=Francis X. Diebold
A01=Glenn D. Rudebusch
Accuracy and precision
Asymptotic distribution
Author_Francis X. Diebold
Author_Glenn D. Rudebusch
Autocorrelation
Autocovariance
Autoregressive fractionally integrated moving average
Autoregressive model
Autoregressive-moving-average model
Bayesian
Bayesian information criterion
Big O notation
Business cycle
Category=KCC
Category=KCH
Category=KCJ
Comparative advantage
Coordination failure (economics)
Dickey-Fuller test
Diebold
Dummy variable (statistics)
Dynamic programming
Economic indicator
Economics
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Errors and residuals
Estimation
Expectation-maximization algorithm
Externality
Forecast error
Forecasting
Generalized method of moments
Gibbs sampling
Income
Incomplete markets
Inference
Instrumental variable
Kalman filter
Large-scale macroeconometric model
Likelihood function
Likelihood-ratio test
Long run and short run
Loss function
Lucas critique
Macroeconomics
Markov chain
Markov model
Markov process
Mean squared prediction error
Minimum mean square error
Null hypothesis
Ordinary least squares
P-value
Parameter
Partial autocorrelation function
Permanent income hypothesis
Point estimation
Precautionary savings
Prediction
Probability
Random walk
Rate of convergence
Real versus nominal value (economics)
Recession
Recognition Lag
Standard deviation
Student's t-test
Test statistic
Time series
Unemployment
Unit root
Unit root test
Variable (mathematics)
Vector autoregression
Wilcoxon signed-rank test
Z-test
Product details
- ISBN 9780691012186
- Weight: 794g
- Dimensions: 197 x 254mm
- Publication Date: 12 Apr 1999
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Hardback
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This is the most sophisticated and up-to-date econometric analysis of business cycles now available. Francis Diebold and Glenn Rudebusch have long been acknowledged as leading experts on business cycles. And here they present a highly integrative collection of their most important essays on the subject, along with a detailed introduction that draws together the book's principal themes and findings. Diebold and Rudebusch use the latest quantitative methods to address five principal questions about the measurement, modeling, and forecasting of business cycles. They ask whether business cycles have become more moderate in the postwar period, concluding that recessions have, in fact, been shorter and shallower. They consider whether economic expansions and contractions tend to die of "old age." Contrary to popular wisdom, they find little evidence that expansions become more fragile the longer they last, although they do find that contractions are increasingly likely to end as they age. The authors discuss the defining characteristics of business cycles, focusing on how economic variables move together and on the timing of the slow alternation between expansions and contractions.
They explore the difficulties of distinguishing between long-term trends in the economy and cyclical fluctuations. And they examine how business cycles can be forecast, looking in particular at how to predict turning points in cycles, rather than merely the level of future economic activity. They show here that the index of leading economic indicators is a poor predictor of future economic activity, and consider what we can learn from other indicators, such as financial variables. Throughout, the authors make use of a variety of advanced econometric techniques, including nonparametric analysis, fractional integration, and regime-switching models. Business Cycles is crucial reading for policymakers, bankers, and business executives.
Francis X. Diebold is Professor of Economics and of Statistics at the University of Pennsylvania and Faculty Research Fellow at the National Bureau of Economic Research. He is the author of Elements of Forecasting and Empirical Models of Exchange Rate Dynamics.
Glenn D. Rudebusch is a research officer at the Federal Reserve Bank of San Francisco. He has published widely in the fields of macroeconomics and econometrics.
