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The importance of nonlinearity in reproducing business cycle features
Morley, James C.; Piger, Jeremy Max - In: Nonlinear time series analysis of business cycles, (pp. 75-95). 2006
This paper considers the ability of simulated data from linear and nonlinear time-series models to reproduce features in U.S. real GDP data related to business cycle phases. We focus our analysis on a number of linear ARIMA models and nonlinear Markov-switching models. To determine the timing of...
Persistent link: https://www.econbiz.de/10003309160
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Measurement error in monetary aggregates : a Markov switching factor approach
Barnett, William A.; Chauvet, Marcelle; Tierney, … - In: Macroeconomic dynamics 13 (2009), pp. 381-412
Persistent link: https://www.econbiz.de/10003888101
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Método de la cadena de Markov-remuestreo-punto de rompimiento estructural del crecimiento económico
Hernández-del-Valle, Adrián - In: El trimestre económico 76 (2009) 3, pp. 619-643
Persistent link: https://www.econbiz.de/10003869157
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Is the great moderation ending? : UK and U.S. evidence
Canarella, Giorgio; Fang, Wen-shwo; Miller, Stephen M.; … - In: Modern economy 1 (2010) 1, pp. 17-42
Persistent link: https://www.econbiz.de/10009306010
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Changes in the factor structure of the US economy : permanent breaks or business cycle regimes?
Hartigan, Luke - 2015
Persistent link: https://www.econbiz.de/10011343726
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Forecasting macroeconomic variables under model instability
Gargano, Antonio; Timmermann, Allan - 2016
Persistent link: https://www.econbiz.de/10011521711
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Regime switching and the (in) stability of the price-rent relationship : evidence from the US
Kim, J. R.; Chung, K. - In: Applied economics 46 (2014) 31/33, pp. 4041-4052
Persistent link: https://www.econbiz.de/10010421848
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Modelling regime switching and structural breaks with an infinite hidden Markov model
Song, Yong - In: Journal of applied econometrics 29 (2014) 5, pp. 815-842
Persistent link: https://www.econbiz.de/10010414844
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Nonstationarities and Markov switching models
Chauvet, Marcelle; Su, Yanpin - In: Recent advances in estimating nonlinear models : with …, (pp. 123-146). 2014
Persistent link: https://www.econbiz.de/10011406764
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Characterizing movements of the U.S. current account deficit
Middendorf, Torge; Schmidt, Thorsten - In: Current account determination and policy implications: …, (pp. 4-20). 2005
Persistent link: https://www.econbiz.de/10002930508