Markov-switching models and the unit root hypothesis in real US GDP
AbstractI find that real US GDP is better characterized as a trend stationary Markov-switching process than as having a (regime-dependent) unit root. I examine the effects of both assumptions on the analysis of business cycle features and their implications for the persistence of the dynamic response of output to a random disturbance.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 112 (2011)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/locate/ecolet
Business cycles Output growth Time series;
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