CASTRO, V., 2015. The Portuguese business cycle: chronology and duration dependence. Empirical Economics, 49 (1), pp. 325-342.
This paper tries to identify a chronology for the Portuguese business cycle and test for the presence of duration dependence in the respective phases of expansion and contraction. A duration-dependent Markov-switching vector autoregressive model is employed in that task. This model is estimated over year-on-year growth rates of a set of relevant economic indicators, namely industrial production, a composite leading indicator and, additionally, civilian employment. The estimated specifications allow us to identify four main periods of contraction during the last three decades and some evidence of positive duration dependence in contractions, but not in expansions, especially when employment is added to the model.
The final publication is available at Springer via http://dx.doi.org/10.1007/s00181-014-0860-4.
The author thanks the financial support provided by the Portuguese Foundation for Science and Technology under research Grant PEst-C/EGE/UI3182/2011 (partially funded by COMPTE, QREN and FEDER).