Modelling business cycle features using switching regime models

Modelling business cycle features using switching regime models

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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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Библиографические подробности
Главные авторы:	Krolzig, H, Clements, M
Формат:	Working paper
Опубликовано:	University of Oxford 2001

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