TY  - JOUR
AU  - Diebold,Francis X.
AU  - Rudebusch,Glenn D.
TI  - Measuring Business Cycles: A Modern Perspective
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4643
PY  - 1994
Y2  - February 1994
UR  - http://www.nber.org/papers/w4643
L1  - http://www.nber.org/papers/w4643.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu

Glenn Rudebusch
Federal Reserve Bank of San Francisco
Economic Research, MS 1130
101 Market Street
San Francisco, CA  94105-9967
Tel: 415-974-3173
E-Mail: glenn.rudebusch@sf.frb.org
AB  - In the first half of this century, special attention was given to two features of the business cycle: (1) the comovement of many individual economic series and (2) the different behavior of the economy during expansions and contractions.  Both of these attributes were ignored in many subsequent business cycle models, which were often linear representations of a single macroeconomic aggregate. However, recent theoretical and empirical research has revived interest in each attribute separately.  Notably, dynamic factor models have been used to obtain a single common factor from a set of macroeconomic variables, and nonlinear models have been used to describe the regime-switching nature of aggregate output.  We survey these two strands of research and then provide some suggestive empirical analysis in an effort to unite the two literatures and to assess their usefulness in a statistical characterization of business- cycle dynamics.
ER  -