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Measuring business cycle turning points in Japan with the Markov Switching Panel model

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  • Chen, Shyh-Wei

Abstract

This paper employs a Markov Switching Panel model to measure business cycle turning points in Japan. This Markov Switching Panel model is simple and can easily be estimated following Hamilton's [J.D. Hamilton, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica 57 (1989) 357–384] method. We find that this model is highly capable of identifying Japanese recessionary dates, and it also has a forecast performance that is equal to that of the Markov Switching Vector Autoregressive model. The implication that emerges here is that governments, their agencies and other business leaders in Japan and elsewhere should also employ the Markov Switching Panel model to secure complementary data.

Suggested Citation

  • Chen, Shyh-Wei, 2007. "Measuring business cycle turning points in Japan with the Markov Switching Panel model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 263-270.
  • Handle: RePEc:eee:matcom:v:76:y:2007:i:4:p:263-270
    DOI: 10.1016/j.matcom.2006.11.003
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    References listed on IDEAS

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    Cited by:

    1. Reis dos Santos, M. Isabel & Reis dos Santos, Pedro M., 2016. "Switching regression metamodels in stochastic simulation," European Journal of Operational Research, Elsevier, vol. 251(1), pages 142-147.
    2. Cheng, Tingting & Gao, Jiti & Yan, Yayi, 2019. "Regime switching panel data models with interactive fixed effects," Economics Letters, Elsevier, vol. 177(C), pages 47-51.
    3. Fukuda, Kosei, 2009. "Distribution switching in financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1711-1720.
    4. Huiming Zhu & Xianfang Su & Wanhai You & Yinghua Ren, 2017. "Asymmetric effects of oil price shocks on stock returns: evidence from a two-stage Markov regime-switching approach," Applied Economics, Taylor & Francis Journals, vol. 49(25), pages 2491-2507, May.

    More about this item

    Keywords

    Markov Switching Panel model; Business cycle; Turning points;

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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