Multiple Regimes in U.S. Output Fluctuations
AbstractThis article investigates the existence of multiple regimes in the U.S. economy during the 1923-91 period. A technique known as regression tree analysis is applied to search for splits in the data, if any exist, rather than choosing a splitting point a priori as has been done in previous work. Using this technique, strong evidence for the existence of nonlinear behavior of U.S. output is found over this period. Monte Carlo results are presented to assess the significance of the regime changes that are found.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 16 (1998)
Issue (Month): 1 (January)
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