This paper discusses extensions of standard Markov switching models that allow estimated probabilities to reflect parameter breaks at or close to the end of the sample, too close for standard maximum likelihood techniques to produce precise parameter estimates. The basic technique is a...

This paper constructs regime-switching models for estimating the probability of inflation returning to its relatively high levels of variability and persistence in the 1970s and 1980s. Forecasts and probabilities of extreme events from the models are evaluated against comparable estimates from...

This paper studies measurement errors that subtract signal from true variables of interest, labeled lack of signal errors (LoSE). The effect on OLS regression of LoSE is opposite the conventional wisdom about classical measurement errors, with LoSE in the dependent variable, not the explanatory...