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Identifying US turning points revisited: the panel model with the regime switching approach

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  • Shyh-Wei Chen

Abstract

This article proposes a panel model with a regime switching mechanism to analyse the feature of US business cycles. This Markov Switching Panel model is simple and can easily be estimated using Hamilton's (1989) method. We test the ability of the Markov Switching Panel model to identify US turning points using the US coincident indicator data. The empirical evidence shows that this model is highly capable of identifying US recessionary dates. It also has a better forecast performance than the Markov Switching vector autoregressive model.

Suggested Citation

  • Shyh-Wei Chen, 2008. "Identifying US turning points revisited: the panel model with the regime switching approach," Applied Economics Letters, Taylor & Francis Journals, vol. 15(11), pages 893-897.
    • Handle: RePEc:taf:apeclt:v:15:y:2008:i:11:p:893-897
    DOI: 10.1080/13504850600905030
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    References listed on IDEAS

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    1. Allan Layton & Daniel Smith, 2000. "A further note on the three phases of the US business cycle," Applied Economics, Taylor & Francis Journals, vol. 32(9), pages 1133-1143.
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    7. Garcia, Rene, 1998. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-788, August.
    8. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
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    Cited by:

    1. Marcin Olkiewicz, 2022. "The Impact of Economic Indicators on the Evolution of Business Confidence during the COVID-19 Pandemic Period," Sustainability, MDPI, vol. 14(9), pages 1-17, April.

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