Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business cycle features found in US post-war consumption, investment and output is compared to that of linear models. Univariate MS models appear to offer more dynamically parsimonious representations, but generally are unable to reproduce features missed by linear models. In the multivariate models, some cointegration restrictions were found to have a crucial impact, and the ability of models that imposed cointegration to reproduce business cycle features was enhanced by Markov switching. Copyright © 2004 John Wiley & Sons, Ltd.
Volume (Year): 9 (2004)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.interscience.wiley.com/jpages/1076-9307/|
|Order Information:||Web: http://jws-edcv.wiley.com/jcatalog/JournalsCatalogOrder/JournalOrder?PRINT_ISSN=1076-9307|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Acemoglu, Daron & Scott, Andrew, 1994. "Asymmetries in the Cyclical Behaviour of UK Labour Markets," Economic Journal, Royal Economic Society, vol. 104(427), pages 1303-23, November.
- Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
- Timothy Cogley & James M. Nason, 1993.
"Output dynamics in real business cycle models,"
Working Papers in Applied Economic Theory
93-10, Federal Reserve Bank of San Francisco.
- Gordon, S.F. & Filardo, A.J., 1993.
"Business Cycle Durations,"
9328, Laval - Recherche en Politique Economique.
- Canova, Fabio, 1993.
"Detrending and Business Cycle Facts,"
CEPR Discussion Papers
782, C.E.P.R. Discussion Papers.
- Francis X. Diebold & Glenn Rudebusch & Daniel Sichel, 1993.
"Further Evidence on Business-Cycle Duration Dependence,"
in: Business Cycles, Indicators and Forecasting, pages 255-284
National Bureau of Economic Research, Inc.
- Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel, 1991. "Further evidence on business cycle duration dependence," Working Papers 91-11, Federal Reserve Bank of Philadelphia.
- King, Robert G. & Plosser, Charles I., 1994.
"Real business cycles and the test of the Adelmans,"
Journal of Monetary Economics,
Elsevier, vol. 33(2), pages 405-438, April.
- Robert G. King & Charles I. Plosser, 1989. "Real Business Cycles and the Test of the Adelmans," NBER Working Papers 3160, National Bureau of Economic Research, Inc.
- King, R.G. & Plosser, C.I., 1989. "Real Business Cycles And The Test Of The Adelmans," RCER Working Papers 204, University of Rochester - Center for Economic Research (RCER).
- Harding, Don & Pagan, Adrian, 2002.
"Dissecting the cycle: a methodological investigation,"
Journal of Monetary Economics,
Elsevier, vol. 49(2), pages 365-381, March.
- Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society.
- Hans-Martin Krolzig & Michael P. Clements, 2002.
"Can oil shocks explain asymmetries in the US Business Cycle?,"
Springer, vol. 27(2), pages 185-204.
- Hans-Martin Krolzig & Michael P. Clements, 2000. "Can oil shocks explain asymmetries in the US Business Cycle?," Economics Series Working Papers 2000-W36, University of Oxford, Department of Economics.
- Krolzig, Hans-Martin & Sensier, Marianne, 2000. "A Disaggregated Markov-Switching Model of the Business Cycle in UK Manufacturing," Manchester School, University of Manchester, vol. 68(4), pages 442-60, Special I.
When requesting a correction, please mention this item's handle: RePEc:ijf:ijfiec:v:9:y:2004:i:1:p:1-14. 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: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.