Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?
AbstractThe ability of Markov-switching (MS) autoregressive models to replicate selected classical business cycle features found in US post-war consumption, investment and output is compared to that of linear models. Univariate MS models appear to offer more dynamically parsimonious representations, but generally are unable to reproduce features missed by linear models. In the multivariate models, some cointegration restrictions were found to have a crucial impact, and the ability of models that imposed cointegration to reproduce business cycle features was enhanced by Markov switching. Copyright © 2004 John Wiley & Sons, Ltd.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 9 (2004)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.interscience.wiley.com/jpages/1076-9307/
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel, 1991.
"Further evidence on business cycle duration dependence,"
91-11, Federal Reserve Bank of Philadelphia.
- 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.
- Canova, Fabio, 1998.
"Detrending and business cycle facts,"
Journal of Monetary Economics,
Elsevier, vol. 41(3), pages 475-512, May.
- Timothy Cogley & James M. Nason, 1993.
"Output dynamics in real business cycle models,"
Working Papers in Applied Economic Theory
93-10, Federal Reserve Bank of San Francisco.
- King, R.G. & Plosser, C.I., 1989.
"Real Business Cycles And The Test Of The Adelmans,"
RCER Working Papers
204, University of Rochester - Center for Economic Research (RCER).
- Robert G. King & Charles I. Plosser, 1989. "Real business cycles and the test of the Adelmans," Proceedings, Federal Reserve Bank of San Francisco.
- King, Robert G. & Plosser, Charles I., 1994. "Real business cycles and the test of the Adelmans," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 405-438, April.
- Harding, Don & Pagan, Adrian, 2002.
"Dissecting the cycle: a methodological investigation,"
Journal of Monetary Economics,
Elsevier, vol. 49(2), pages 365-381, March.
- Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society.
- Acemoglu, Daron & Scott, Andrew, 1994. "Asymmetries in the Cyclical Behaviour of UK Labour Markets," Economic Journal, Royal Economic Society, vol. 104(427), pages 1303-23, November.
- Krolzig, Hans-Martin & Sensier, Marianne, 2000. "A Disaggregated Markov-Switching Model of the Business Cycle in UK Manufacturing," Manchester School, University of Manchester, vol. 68(4), pages 442-60, Special I.
- Gordon, S.F. & Filardo, A.J., 1993.
"Business Cycle Durations,"
9328, Laval - Recherche en Politique Economique.
- Hans-Martin Krolzig & Michael P. Clements, 2002. "Can oil shocks explain asymmetries in the US Business Cycle?," Empirical Economics, Springer, vol. 27(2), pages 185-204.
- Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
- James Morley & Jeremy M. Piger, 2005. "The importance of nonlinearity in reproducing business cycle features," Working Papers 2004-032, Federal Reserve Bank of St. Louis.
- David N. DeJong & Hariharan Dharmarajan & Roman Liesenfeld & Jean-Francois Richard, 2008. "Exploiting Non-Linearities in GDP Growth for Forecasting and Anticipating Regime Changes," Working Papers 367, University of Pittsburgh, Department of Economics, revised Sep 2008.
- Morley James & Piger Jeremy & Tien Pao-Lin, 2013.
"Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information?,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 17(5), pages 483-498, December.
- James Morley & Jeremy Piger & Pao-Lin Tien, 2012. "Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information?," Discussion Papers 2012-23, School of Economics, The University of New South Wales.
- James Morley & Jeremy Piger & Pao-Lin Tien, 2009. "Reproducing Business Cycle Features: How Important Is Nonlinearity Versus Multivariate Information?," Wesleyan Economics Working Papers 2009-003, Wesleyan University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.