Luginbuhl, Rob; de Vos, Aart - In: Journal of Business & Economic Statistics 17 (1999) 4, pp. 456-65
We propose an unobserved-component time series model of gross domestic product that includes Markov switching as an unobserved component. In addition to a trend component, the model has two time-varying drift components. One drift represents the expected rate of growth during recession; the...