Chin Nam Low (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne) Heather Anderson (Australia National University) Ralph Snyder (Monash University)
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In this paper, we consider the introduction of Markov-switching (MS) processes to both the permanent and transitory components of the Beveridge-Nelson (BN) decomposition. This new class of MS models within the context of BN decomposition provides an alternative framework in the study of business cycle asymmetry. Our approach incorporates Markov switching into a BN decomposition formulated in a single source of error state-space form, allowing regime switches in the long-run multiplier as well as in the short-run parameters.
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Paper provided by Melbourne Institute of Applied Economic and Social Research, The University of Melbourne in its series Melbourne Institute Working Paper Series with number
wp2006n14.
Length: 22 pages Date of creation: Jul 2006 Date of revision: Handle: RePEc:iae:iaewps:wp2006n14
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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