Authors: Vitor Castro
Publish Date: 2011/12/30
Volume: 44, Issue: 2, Pages: 511-544
Abstract
The business cycles literature shows that the likelihood of an expansion or contraction ending increases with its age ie they exhibit positive duration dependence This evidence rests on the assumption that the magnitude of duration dependence is the same over time However we assume that the degree of likeliness of an expansion or contraction ending as it gets older might indeed change after a specific duration Estimating a continuoustime Weibull model for a group of 13 industrial countries over the period 1948–2009 and allowing for the presence of a changepoint in the durationdependence parameter we conclude that the evidence of positive duration dependence is no longer present when an expansion surpasses 10 years of duration
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