IDEAS home Printed from https://ideas.repec.org/p/qed/wpaper/887.html
   My bibliography  Save this paper

Duration Dependent Transitions in a Markov Model of U.S. GNP Growth

Author

Listed:
  • J. Michael Durland
  • Thomas H. McCurdy

Abstract

Hamilton's (1989) nonlinear Markovian filter is extend to allow state transitions to be duration dependent. Restrictions are imposed on the state transition matrix associated with a T-order Markov system such that the corresponding first-order conditional transition probabilities are functions of both the inferred current state and also the number of periods the process has been in that state. High-order structure is parsimoniously summarized by the inferred duration variable. Applied to U.S. post-war real GNP growth rates, we obtain evidence in support of nonlinearity, asymmetry between recessions and expansions, as well as strong duration dependence for recessions but not for expansions

Suggested Citation

  • J. Michael Durland & Thomas H. McCurdy, 1993. "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," Working Paper 887, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:887
    as

    Download full text from publisher

    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_887.pdf
    File Function: First version 1993
    Download Restriction: no
    ---><---

    Other versions of this item:

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:887. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mark Babcock (email available below). General contact details of provider: https://edirc.repec.org/data/qedquca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.