Incorporating vintage differences and forecasts into Markov switching models
This paper incorporates vintage differences and forecasts into the Markov switching models described by Hamilton (1994). The vintage differences and forecasts induce parameter breaks close to the end of the sample, too close for standard maximum likelihood techniques to produce precise parameter estimates. A supplementary procedure estimates the statistical properties of the end-of-sample observations that behave differently from the rest, allowing inferred probabilities to reflect the breaks. Empirical results using real-time data show that these techniques improve the ability of a Markov switching model based on GDP and GDI to recognize the start of the 2001 recession.
If you experience problems downloading a file, check if you have the proper application to view it first. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:27:y:2011:i:2:p:281-307. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.