Markov-switching models and the unit root hypothesis in real US GDP
I find that real US GDP is better characterized as a trend stationary Markov-switching process than as having a (regime-dependent) unit root. I examine the effects of both assumptions on the analysis of business cycle features and their implications for the persistence of the dynamic response of output to a random disturbance.
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- repec:ebl:ecbull:v:3:y:2008:i:11:p:1-11 is not listed on IDEAS
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