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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- Kim, C-J & Nelson, C-R, 1997.
"Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components,"
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- Kim, C-J & Nelson, C-R, 1997. "Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components," Working Papers 97-06, University of Washington, Department of Economics.
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- Kanas, Angelos & Genius, Margarita, 2005. "Regime (non)stationarity in the US/UK real exchange rate," Economics Letters, Elsevier, vol. 87(3), pages 407-413, June.
- repec:ebl:ecbull:v:3:y:2008:i:11:p:1-11 is not listed on IDEAS
- Robin L. Lumsdaine & David H. Papell, 1997.
"Multiple Trend Breaks And The Unit-Root Hypothesis,"
The Review of Economics and Statistics,
MIT Press, vol. 79(2), pages 212-218, May.
- Tom Doan, "undated". "LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks," Statistical Software Components RTS00110, Boston College Department of Economics.
- Máximo Camacho & Gabriel Pérez-Quirós, 2005.
"Jump-and-rest effect of U.S. business cycles,"
0507, Banco de España;Working Papers Homepage.
- Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc.
- Hall, Stephen G & Psaradakis, Zacharias & Sola, Martin, 1999. "Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 143-154, March-Apr.
- Diebold, Francis X & Senhadji, Abdelhak S, 1996. "The Uncertain Unit Root in Real GNP: Comment," American Economic Review, American Economic Association, vol. 86(5), pages 1291-1298, December.
- Raybaudi, Marzia & Sola, Martin & Spagnolo, Fabio, 2004. "Red signals: current account deficits and sustainability," Economics Letters, Elsevier, vol. 84(2), pages 217-223, August.
- MacKinnon, James G, 1996.
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- James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
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