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Un Modelo de Switching para el Crecimiento en Chile

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  • Christian Johnson

Abstract

This article presents a historical analysis of the Chilean monthly growth rate from 1987 to 2000, applying the Switching Regime methodology design by Hamilton (1989). Three scenarios were considered, which imply a number of parameters estimated using the

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Bibliographic Info

Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía-Latin American Journal of Economics.

Volume (Year): 38 (2001)
Issue (Month): 115 ()
Pages: 291-319

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Handle: RePEc:ioe:cuadec:v:38:y:2001:i:115:p:291-319

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Keywords: Growth; monetary policy; algorithm EM; optimization;

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References

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  1. 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.
  2. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, January.
  3. Potter, Simon M, 1999. " Nonlinear Time Series Modelling: An Introduction," Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 505-28, December.
  4. Hamilton, James D, 1991. "A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(1), pages 27-39, January.
  5. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
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Citations

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Cited by:
  1. Cruz-Rodríguez, Alexis, 2004. "Un análisis del ciclo económico de la República Dominicana bajo cambios de régimen
    [Analysis of business cycle of the Dominican Republic using Markov Switching model]
    ," MPRA Paper 54352, University Library of Munich, Germany.
  2. Idrovo Aguirre, Byron & Contreras, Javier, 2009. "Un Modelo SARIMA para Predecir la Tasa de Desempleo de Chile
    [A model SARIMA to predict chilean unemployment]
    ," MPRA Paper 19369, University Library of Munich, Germany, revised 17 Sep 2009.
  3. Luis Eduardo Arango & Luz Adriana Flórez & Angélica María Arosemena, . "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Borradores de Economia 279, Banco de la Republica de Colombia.
  4. Byron Idrovo A., 2010. "¿Cuál es el crecimiento de largo plazo de la economía chilena? Una respuesta formal para una antigua pregunta," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID.
  5. Idrovo Aguirre, Byron, 2006. "Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana
    [An estimation of short and long term rates spread: a leading indicator]
    ," MPRA Paper 11116, University Library of Munich, Germany, revised 12 Mar 2007.
  6. Idrovo Aguirre, Byron, 2007. "Los Ciclos del Mercado Inmobiliario y su Relación con los Ciclos de la Economía
    [Housing Market Fluctuations and the Economic Cycles]
    ," MPRA Paper 19365, University Library of Munich, Germany, revised 24 Sep 2007.

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