Modeling Business Cycles with Markov Switching Arma (Ms-Arma) Model: An Application on Iranian Business Cycles

Modeling Business Cycles with Markov Switching Arma (Ms-Arma) Model: An Application on Iranian Business Cycles

In this paper, the Iran Business Cycle characteristics were investigated via numerous univariate and multivariate Markov-switching specifications. In this case Markov switching model MSM-ARMA is proposed for determining business cycles. We examined the stochastic properties of the cyclical pattern o...

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Bibliographic Details
Main Author: Morteza Sarbijan
Format: Article
Language:English
Published: Mashhad: Behzad Hassannezhad Kashani 2014-10-01
Series:International Journal of Management, Accounting and Economics
Subjects:
markov switching models
business cycles
ms-arma
iran economy
Online Access:https://www.ijmae.com/article_115444_4500f04904039500a402f2931fa56aaf.pdf

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