Modelling business cycle features using switching regime models

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 gen...

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Bibliographic Details
Main Authors: Krolzig, H, Clements, M
Format: Working paper
Published: University of Oxford 2001