TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING

Eric Ghysels

Macroeconomic Dynamics, 2000, vol. 4, issue 4, 467-486

Abstract: We present a class of stochastic regime-switching models. The time-series models may have periodic transition probabilities and the drifts may be seasonal. In the latter case, the model exhibits seasonal dummy variation that may change with the regime. The processes entail nontrivial interactions between so-called business and seasonal cycles. We discuss the stochastic properties as well as their relationship with periodic ARMA processes. Estimation and testing are also discussed in detail.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:cup:macdyn:v:4:y:2000:i:04:p:467-486_01

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