Add to ORKGThe ability ofMarkov-switching (MS) autoregressive models to replicate selected classical business-cycle features found in US post-war consumption, investment and output is compared to that of linear models. Univariate MS models appear to offer more dynamically parsimonious representations, but generally are unable to reproduce features missed by linear models. In the multivariate models, some cointegration restrictions were found to have a crucial impact, and the ability of models that imposed cointegration to reproduce business cycle features was enhanced by Markov-switching
The class of Markov switching models can be extended in two main directions in a multivariate framew...
This paper proposes a new framework for the impulse-response analysis of business cycle transitions....
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchro...
The ability ofMarkov-switching (MS) autoregressive models to replicate selected classical business-c...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
This paper identifies turning points for the U.S. business cycle using different time series. The mo...
This article proposes first a univariate Markov-Switching Model of US GNP, decomposed into unobserva...
We consider the extent to which different time-series models can generate simulated data with the sa...
We consider the extent to which different time-series models can generate simulated data with the sa...
Business cycle models are often investigated by using reduced form time series models, other than (o...
Business cycle models are often investigated by using reduced form time series models, other than (o...
[[abstract]]This study examines the performance of Markov-switching model on business cycle by apply...
The class of Markov switching models can be extended in two main directions in a multivariate framew...
The class of Markov switching models can be extended in two main directions in a multivariate framew...
The class of Markov switching models can be extended in two main directions in a multivariate framew...
This paper proposes a new framework for the impulse-response analysis of business cycle transitions....
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchro...
The ability ofMarkov-switching (MS) autoregressive models to replicate selected classical business-c...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
This paper identifies turning points for the U.S. business cycle using different time series. The mo...
This article proposes first a univariate Markov-Switching Model of US GNP, decomposed into unobserva...
We consider the extent to which different time-series models can generate simulated data with the sa...
We consider the extent to which different time-series models can generate simulated data with the sa...
Business cycle models are often investigated by using reduced form time series models, other than (o...
Business cycle models are often investigated by using reduced form time series models, other than (o...
[[abstract]]This study examines the performance of Markov-switching model on business cycle by apply...
The class of Markov switching models can be extended in two main directions in a multivariate framew...
The class of Markov switching models can be extended in two main directions in a multivariate framew...
The class of Markov switching models can be extended in two main directions in a multivariate framew...
This paper proposes a new framework for the impulse-response analysis of business cycle transitions....
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchro...