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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 85 (1998)
Issue (Month): 1 (July)
Pages: 99-123

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Handle: RePEc:eee:econom:v:85:y:1998:i:1:p:99-123

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Web page: http://www.elsevier.com/locate/jeconom

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1. Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
2. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
   
   • Tom Doan, . "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.
   • Tom Doan, . "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
   • Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
3. Albert, James H & Chib, Siddhartha, 1993. "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 1-15, January.
4. Mark W. Watson, 1992. "Business cycle durations and postwar stabilization of the U.S. economy," Working Paper Series, Macroeconomic Issues 92-6, Federal Reserve Bank of Chicago.
   
   • Watson, Mark W, 1994. "Business-Cycle Durations and Postwar Stabilization of the U.S. Economy," American Economic Review, American Economic Association, vol. 84(1), pages 24-46, March.
   • Mark W. Watson, 1992. "Business Cycle Durations and Postwar Stabilization of the U.S. Economy," NBER Working Papers 4005, National Bureau of Economic Research, Inc.
5. Chib, Siddhartha, 1993. "Bayes regression with autoregressive errors : A Gibbs sampling approach," Journal of Econometrics, Elsevier, vol. 58(3), pages 275-294, August.
6. Eric Ghysels, 1992. "On the Periodic Structure of the Business Cycle," Cowles Foundation Discussion Papers 1028, Cowles Foundation for Research in Economics, Yale University.
   
   • Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-98, July.
7. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 279-88, July.
   
   • J. Michael Durland & Thomas H. McCurdy, 1993. "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," Working Papers 887, Queen's University, Department of Economics.
8. Francis X. Diebold & Glenn Rudebusch & Daniel Sichel, 1993. "Further Evidence on Business-Cycle Duration Dependence," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 255-284 National Bureau of Economic Research, Inc.
   
   • Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel, 1991. "Further evidence on business cycle duration dependence," Working Papers 91-11, Federal Reserve Bank of Philadelphia.
9. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
10. Andrew J. Filardo, 1994. "International co-movements of business cycles," Research Working Paper 94-11, Federal Reserve Bank of Kansas City.
11. Maravall, Agustin, 1993. "Stochastic linear trends : Models and estimators," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 5-37, March.
12. McCulloch, Robert & Rossi, Peter E., 1994. "An exact likelihood analysis of the multinomial probit model," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 207-240.
13. Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 299-308, July.
    
    • Tom Doan, . "RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching," Statistical Software Components RTZ00059, Boston College Department of Economics.
14. Michael D. Boldin, 1990. "Characterizing business cycles with a Markov switching model: evidence of multiple equilibria," Research Paper 9037, Federal Reserve Bank of New York.
15. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
16. Michael D. Boldin, 1992. "Using switching models to study business cycle asymmetries: 1. overview of methodology and application," Research Paper 9211, Federal Reserve Bank of New York.

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