Analysis of the US Business Cycle with a Vector-Markov-Switching Model
AbstractThis paper identifies turning points for the US "business cycle" using information from different time series. The model, a multivariate Markov-switching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with the switching from one to the other determined by a common Markov process. The procedure is applied to the series composing the composite coincident indicator in the USA to obtain business cycle turning points. The business cycle chronology is closer to the NBER reference cycle than the turning points obtained from the individual series using a univariate model. The model is also used to forecast the series with some encouraging results. Copyright © 2001 by John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.
Volume (Year): 20 (2001)
Issue (Month): 1 (January)
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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966
Other versions of this item:
- Zenon Kontolemis G., 1999. "Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model," IMF Working Papers 99/107, International Monetary Fund.
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- Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
- Robert A Buckle & David Haugh & Peter Thomson, 2002. "Growth and volatility regime switching models for New Zealand GDP data," Treasury Working Paper Series 02/08, New Zealand Treasury.
- Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
- AdÃ©l Bosch & Franz Ruch, 2012. "An alternative business cycle dating procedure for South Africa," Working Papers 267, Economic Research Southern Africa.
- Stéphane GOUTTE & Benteng Zou, 2011. "Foreign exchange rates under Markov Regime switching model," CREA Discussion Paper Series 11-16, Center for Research in Economic Analysis, University of Luxembourg.
- E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
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