We consider whether oil prices can account for business cycle asymmetries. We test for asymmetries based on the Markov switching autoregressive model popularized by Hamilton (1989), using the tests devised by Clements and Krolzig (2000). We select the transformation of the oil price of Lee, Ni...

Unrestricted reduced form vector autoregressive (VAR) models have become a dominant research strategy in empirical macroeconomics since Sims (1980) critique of traditional macroeconometric modeling. They are however subjected to the curse of dimensionality. In this paper we propose...

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...

We introduce a reduced rank technique for testing for common deterministic shifts. The reduced rank approach is analysed also in the context of super exogenity and an alternative test for super-exogenity is proposed. One important advantage of this approach is that departing from the...

When the DGP is nested in the model, PcGets delivers high performance selection across different (unknown) states of nature. One of its steps involves sub-sample post-selection assessment, and here we consider its properties and investigate its practical application. The simulation results show...

We examine the properties of automatic model selection, as embodied in PcGets, and evaluate its performance across different (unknown) states of nature. After describing the basic algorithm and some recent changes, we discuss the consistency of its selection procedures, then examine the extent...

In this paper we introduce a small Keynesian model of economic growth which is centered around two advanced types of Phillips curves, one for money wages and one for prices, both being augmented by perfect myopic foresight and supplemented by a measure of the medium-term inflationary climate...

By generalizing Hamiltons model of the US business cycle to a three-regime Markov-switching vector autoregressive model, this paper analyzes regime shifts in the stochastic process of economic growth in the US, Japan and Europe over the last four decades. Empirical evidence is established for...

Disputes about econometric methodology partly reflect a lack of evidence on alternative approaches. We reconsider econometric model selection from a computer-automation perspective, focusing on general-to-specific reductions, embodied in PcGets. Starting from a general congruent model, standard...

We propose testing for business cycle first-moment asymmetries in Markov-switching autoregressive (MS-AR) models. We derive the parametric restrictions on MS-AR models that rule out types of asymmetries such as deepness, steepness, and sharpness, and set out a testing procedure based on Wald...