Showing 1 - 7 of 7
Persistent link: https://www.econbiz.de/10005052810
Persistent link: https://www.econbiz.de/10005192234
Beveridge and Nelson [Beveridge, Stephen, Nelson, Charles R., 1981. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the 'business cycle'. Journal of Monetary Economics 7, 151-174] proposed that the...
Persistent link: https://www.econbiz.de/10005192325
Persistent link: https://www.econbiz.de/10005122678
Persistent link: https://www.econbiz.de/10005122736
Persistent link: https://www.econbiz.de/10005285904
Following Hamilton [1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357-384], estimation of Markov regime-switching regressions typically relies on the assumption that the latent state variable controlling regime change is...
Persistent link: https://www.econbiz.de/10005228842