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Modelling Business Cycle Features Using Switching Regime Models

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  • Clements, M.C.
  • Krolzig, H.-M.

Abstract

The ability of Markov-switching (MS) autoregressive models to replicate selected classical business-cycle features found in US post-war consumption, investment and output is compared to that of linear models. Univariate MS models appear to offer more dynamically parsimonious representations, but generally are unable to reproduce features missed by linear models. In the multivariate models, some cointegration restrictions were found to have a crucial impact, and the ability of models that imposed cointegration to reproduce business cycle features was enhanced by Markov-switching.

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Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 9958.

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Length: 18 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:oxf:wpaper:9958

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Keywords: CONSUMPTION ; INVESTMENTS ; LINEAR MODELS;

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References

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  1. Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
  2. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
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Cited by:
  1. Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers 2006.29, Fondazione Eni Enrico Mattei.

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