On seasonality and business cycle durations: A nonparametric investigation

Markov stochastic switching regime models indicate that business cycle phase transitions appear to exhibit uneven switching propensities throughout the calendar year. Instead of studying regime switching data, we investigate business cycle durations obtained from turning point chronologies to investigate this question. We test for the presence of seasonal features in duration data via nonparametric rank-based tests. This approach has some advantages over the parametric Markov stochastic switching regime models, since it only involves mild regularity conditions regarding the hazard model for business cycle turning points. We examine two alternative chronologies (NBER and Romer) to address the question of uneven propensity of switching.