This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

A structural Time Series Model with Markov Switching

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Shami, R.G.
Forbes, C.S.
Abstract

We propose an innovations form of the structural model underlying exponential smoothing that is further augmented by a latent Markov switching process. A particular case of the new model is the local level model with a switching drift, where the switching component describes the change between high and low growth rate periods. This new model is used to analyse the US business cycle using US Quarterly real GNP data. Model parameters are estimated using a Gibbs sampling algorithm and subsequently used for forecasting purposes. In addition, the stability of the new model is tested against Hamilton's model over a range of observation periods.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/2000/wp10-00.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 10/2000.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 29 pages
Date of creation: Dec 2000
Date of revision:
Handle: RePEc:msh:ebswps:2000-10

Contact details of provider:
Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Phone: +61-3-9905-2489
Fax: +61-3-9905-5474
Email:
Web page: http://www.buseco.monash.edu.au/depts/ebs/
More information through EDIRC

Order Information:
Email:
Web: http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/

For technical questions regarding this item, or to correct its listing, contact: (Simone Grose).

Related research
Keywords: Structural models; Markov switching regime; Gibbs sampling Business cycle.;

Other versions of this item:

Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.:
  1. Shami, R.G. & Snyder, R.D., 1998. "Exponential Smoothing Methods of Forecasting and General ARMA Time Series Representations," Monash Econometrics and Business Statistics Working Papers 3/98, Monash University, Department of Econometrics and Business Statistics.
  2. Masanao Aoki, 1992. "Interactions of Real GNP Business Cycles in a Three Country Time Series Model," UCLA Economics Working Papers 675, UCLA Department of Economics. [Downloadable!]
  3. Perron, P. & Phillips, P.C.B., 1986. "Does Gnp Have a Unit Root? a Reevaluation," Cahiers de recherche 8640, Universite de Montreal, Departement de sciences economiques.
    Other versions:
  4. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1990. "Mean Reversion in Equilibrium Asset Prices," NBER Working Papers 2762, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. Hansen, Bruce E, 1992. "The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S61-82, Suppl. De. [Downloadable!] (restricted)
  6. Clark, Peter K, 1987. "The Cyclical Component of U.S. Economic Activity," The Quarterly Journal of Economics, MIT Press, vol. 102(4), pages 797-814, November. [Downloadable!] (restricted)
  7. Michael D. Boldin, 1996. "A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(1). [Downloadable!]
  8. Albert, James H & Chib, Siddhartha, 1993. "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 1-15, January.
  9. 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. [Downloadable!] (restricted)
  10. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.
  11. James D. Hamilton & Gang Lin, 1996. "Stock Market Volatility and The Business Cycle," University of California at San Diego, Economics Working Paper Series 96-18, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  12. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July. [Downloadable!] (restricted)
  13. Diebold, Francis X & Rudebusch, Glenn D, 1989. "Scoring the Leading Indicators," Journal of Business, University of Chicago Press, vol. 62(3), pages 369-91, July. [Downloadable!] (restricted)
    Other versions:
  14. Ord, J.K. & Koehler, A. & Snyder, R.D., 1995. "Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models," Monash Econometrics and Business Statistics Working Papers 4/95, Monash University, Department of Econometrics and Business Statistics.
  15. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70. [Downloadable!] (restricted)
  16. Aoki, Masanao, 1988. "On alternative state space representations of time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 595-607. [Downloadable!] (restricted)
  17. Forbes, C.S. & Snyder, R.D. & Shami, R.S., 2000. "Bayesian Exponential Smoothing," Monash Econometrics and Business Statistics Working Papers 7/2000, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
Full references

Cited by:
(explanations, 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.)

  1. Chin Nam Low & Heather Anderson & Ralph Snyder, 2006. "Beveridge-Nelson Decomposition with Markov Switching," Melbourne Institute Working Paper Series wp2006n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? About five million pdf files are downloaded through RePEc every year.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.