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, 2011. "Foreign exchange rates under Markov Regime switching model," CREA Discussion Paper Series 11-16, Center for Research in Economic Analysis, University of Luxembourg.
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