IDEAS home Printed from https://ideas.repec.org/a/bpj/sndecm/v1y1996i1nre1.html
   My bibliography  Save this article

A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle

Author

Listed:
  • Boldin Michael D.

    (The Conference Board New York, NY)

Abstract

This note explores the robustness of Hamilton's (Econometrica, 1989) two-regime Markov switching model framework for capturing business-cycle patterns. Applying his exact specification to a revised version of real GNP, I find parameter estimates that are similar to those he reported only when I use the same sample period (1952-1984) and a particular set of starting values for the maximum likelihood procedure. Two other local maxima exist that have higher likelihood values, and neither correspond to the conventional recession-expansion dichotomy. In fact, when the sample period is extended, there is no longer a local maximum near the parameter set reported by Hamilton. Exploring the model and data further, I reject cross-regime restrictions of Hamilton specification, but also find that relaxing these restrictions increases the number of local maxima. However, a parsimonious three-regime model for GNP growth is more robust and plausible, especially when each regime is required to last more than one quarter.

Suggested Citation

  • Boldin Michael D., 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, De Gruyter, vol. 1(1), pages 1-14, April.
  • Handle: RePEc:bpj:sndecm:v:1:y:1996:i:1:n:re1
    DOI: 10.2202/1558-3708.1010
    as

    Download full text from publisher

    File URL: https://doi.org/10.2202/1558-3708.1010
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.

    File URL: https://libkey.io/10.2202/1558-3708.1010?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:sndecm:v:1:y:1996:i:1:n:re1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.