By James D. Hamilton, Baldev Raj
This publication is a suite of state of the art papers at the houses of commercial cycles and fiscal research. the person contributions hide new advances in Markov-switching versions with functions to company cycle examine and finance. The creation surveys the present tools and new result of the decade. person chapters examine gains of the U. S. and eu enterprise cycles with specific specialise in the function of economic coverage, oil shocks and co pursuits between key variables. The short-run as opposed to long-run outcomes of an monetary recession also are mentioned. one other region that's featured is an intensive research of forex crises and the potential for bubbles or fads in inventory costs. A concluding bankruptcy bargains worthwhile new effects on checking out for this type of regime-switching behaviour. total, the ebook offers a state of the art over view of recent instructions in equipment and effects for estimation and inference in response to using Markov-switching time-series research. a distinct function of the e-book is that it comprises a demonstration of quite a lot of purposes in line with a standard technique. it really is anticipated that the subject of the e-book may be of specific curiosity to the macroeconomics readers in addition to econometrics execs, students and graduate scholars. we want to show our gratitude to the authors for his or her powerful contributions and the reviewers for his or her counsel and cautious cognizance to element of their reports.
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Additional info for Advances in Markov-Switching Models: Applications in Business Cycle Research and Finance
American Economic Review, Papers and Proceedings of the Hundred and Fifth Annual Meeting of the American Economic Association 83:270-274 Blinder A (1991) What's so bad about a nice little recovery? Business Week, June 24:22 Boldin MD (1994) Dating turning points in the business cycle. Journal of Business 67:93-131 Burns AF, Mitchell WA (1946) Measuring business cycles. National Bureau of Economic Research, New York Chauvet M (1998) An econometric characterization of business cycle dynamics with factor structure and regime switching.
The asymptotic (-ratios for these parameters indicate that they are all individually significant at the 1% level. This suggests that the common transitory factor may not be ignored in explaining the data. DRI codes are in parentheses. We use the general to specific lag selection procedure studied by Hall (1994) and Ng and Perron (1995). Results are invariant to a maximum lag of 12 and 24. 9) are not identified. While such problem has received attention from Hansen (1992,1996) and Garcia (1998), the distribution of the test statistic in the presence of nuisance parameters that exist only under the alternative hypothesis is unknown for the state space model we are dealing with.
The seminal article of Hamilton (1989) modelled the quarterly percentage change in US real GNP for the period 1953 to 1984 using a two-regime model with switching in mean and four autoregressive lags, which we write following equation (1) as MSM(2)-AR(4). A number of authors have used 3 We also experimented with more general models of output and employment growth that included four lags of the other variable in addition to the five oil price transforms. For employment growth, none of the output terms were retained in the final model, and the model was as described in the text.