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New directions in business cycle research and financial analysis

  • James D. Hamilton


    (Department of Economics, 0508, University of California, San Diego, La Jolla, CA 92093-0508)

  • Baldev Raj


    (School of Business and Economics, Wilfrid Laurier University, 75 University Aveneu, Waterloo, Ontario, Canada N2L 3C5)

This paper serves as a partial introduction to and survey of the literature on Markov-switching models. We review the history of this class of models, describe their mathematical structure, and exposit the basic ideas behind estimation and inference. The paper also describes how the approach can be extended in a variety of directions, such as non-Gaussian distributions, time-varying transition probabilities, vector processes, state-space and GARCH models, and surveys recent methodological advances. The contributions of the other papers in this volume are reviewed. A final section offers conclusions and implications for policy.

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Article provided by Springer in its journal Empirical Economics.

Volume (Year): 27 (2002)
Issue (Month): 2 ()
Pages: 149-162

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Handle: RePEc:spr:empeco:v:27:y:2002:i:2:p:149-162
Note: Received: August 2001/Final Version Received: October 2001
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