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.

• PrefaceAcknowledgmentsPt. IIntroduction1Questions about Business Cycles5Pt. IIBusiness Cycle Durations2Have Postwar Economic Fluctuations Been Stabilized?353Shorter Recessions and Longer Expansions544A Nonparametric Investigation of Duration Dependence in the American Business Cycle645Further Evidence on Business Cycle Duration Dependence876Measuring Business Cycles: A Modern Perspective1177Regime Switching with Time-Varying Transition Probabilities144Pt. IIIBusiness Cycle Dynamics8Trends and Random Walks in Macroeconomic Time Series: A Reexamination1699The Uncertain Unit Root in Real GNP19410The Uncertain Unit Root in Real GNP: Comment20711Long Memory and Persistence in Aggregate Output21912Is Consumption Too Smooth? Long Memory and the Deaton Paradox24113On the Power of Dickey-Fuller Tests against Fractional Alternatives258Pt. IVBusiness Cycle Forecasting14The Past, Present, and Future of Macroeconomic Forecasting26715Scoring the Leading Indicators29016Turning Point Prediction with the Composite Leading Index: An Ex Ante Analysis31617Forecasting Output with the Composite Leading Index: A Real-Time Analysis34218New and Old Models of Business Investment: A Comparison of Forecasting Performance36119Comparing Predictive Accuracy387Name Index413Subject Index419

"This book is an invaluable resource for anyone interested in empirical macroeconomics or in advanced techniques of time series analysis. It clearly shows how the adoption of new econometric techniques leads to new and better answers to existing questions, as well as to new questions, too."—Peter Lindner, Vice-President, Lehman Brothers Inc.

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.

• PrefaceAcknowledgmentsPt. IIntroduction1Questions about Business Cycles5Pt. IIBusiness Cycle Durations2Have Postwar Economic Fluctuations Been Stabilized?353Shorter Recessions and Longer Expansions544A Nonparametric Investigation of Duration Dependence in the American Business Cycle645Further Evidence on Business Cycle Duration Dependence876Measuring Business Cycles: A Modern Perspective1177Regime Switching with Time-Varying Transition Probabilities144Pt. IIIBusiness Cycle Dynamics8Trends and Random Walks in Macroeconomic Time Series: A Reexamination1699The Uncertain Unit Root in Real GNP19410The Uncertain Unit Root in Real GNP: Comment20711Long Memory and Persistence in Aggregate Output21912Is Consumption Too Smooth? Long Memory and the Deaton Paradox24113On the Power of Dickey-Fuller Tests against Fractional Alternatives258Pt. IVBusiness Cycle Forecasting14The Past, Present, and Future of Macroeconomic Forecasting26715Scoring the Leading Indicators29016Turning Point Prediction with the Composite Leading Index: An Ex Ante Analysis31617Forecasting Output with the Composite Leading Index: A Real-Time Analysis34218New and Old Models of Business Investment: A Comparison of Forecasting Performance36119Comparing Predictive Accuracy387Name Index413Subject Index419

"This book is an invaluable resource for anyone interested in empirical macroeconomics or in advanced techniques of time series analysis. It clearly shows how the adoption of new econometric techniques leads to new and better answers to existing questions, as well as to new questions, too."—Peter Lindner, Vice-President, Lehman Brothers Inc.

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.

• PrefaceAcknowledgmentsPt. IIntroduction1Questions about Business Cycles5Pt. IIBusiness Cycle Durations2Have Postwar Economic Fluctuations Been Stabilized?353Shorter Recessions and Longer Expansions544A Nonparametric Investigation of Duration Dependence in the American Business Cycle645Further Evidence on Business Cycle Duration Dependence876Measuring Business Cycles: A Modern Perspective1177Regime Switching with Time-Varying Transition Probabilities144Pt. IIIBusiness Cycle Dynamics8Trends and Random Walks in Macroeconomic Time Series: A Reexamination1699The Uncertain Unit Root in Real GNP19410The Uncertain Unit Root in Real GNP: Comment20711Long Memory and Persistence in Aggregate Output21912Is Consumption Too Smooth? Long Memory and the Deaton Paradox24113On the Power of Dickey-Fuller Tests against Fractional Alternatives258Pt. IVBusiness Cycle Forecasting14The Past, Present, and Future of Macroeconomic Forecasting26715Scoring the Leading Indicators29016Turning Point Prediction with the Composite Leading Index: An Ex Ante Analysis31617Forecasting Output with the Composite Leading Index: A Real-Time Analysis34218New and Old Models of Business Investment: A Comparison of Forecasting Performance36119Comparing Predictive Accuracy387Name Index413Subject Index419

"This book is an invaluable resource for anyone interested in empirical macroeconomics or in advanced techniques of time series analysis. It clearly shows how the adoption of new econometric techniques leads to new and better answers to existing questions, as well as to new questions, too."—Peter Lindner, Vice-President, Lehman Brothers Inc.