Markov-switching models and the unit root hypothesis in real US GDP

Maximo Camacho

Economics Letters, 2011, vol. 112, issue 2, 161-164

Abstract: I find that real US GDP is better characterized as a trend stationary Markov-switching process than as having a (regime-dependent) unit root. I examine the effects of both assumptions on the analysis of business cycle features and their implications for the persistence of the dynamic response of output to a random disturbance.

Keywords: Business; cycles; Output; growth; Time; series (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:112:y:2011:i:2:p:161-164

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