This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...

Cointegration occurs when the long run multiplier of a vector autoregressive model exhibits rank reduction. Priors and posteriors of the parameters of the cointegration model are therefore proportional to priors and posteriors of the long run multiplier given that it has reduced rank. Rank...

Stylized facts show that average growth rates of US per capita consumption and income differ in recession and expansion periods. Since a linear combination of such series does not have to be a constant mean process, standard cointegration analysis between the variables to examine the permanent...