Measuring business cycle turning points in Japan with the Markov Switching Panel model

Shyh-Wei Chen

Mathematics and Computers in Simulation (MATCOM), 2007, vol. 76, issue 4, 263-270

Abstract: This paper employs a Markov Switching Panel model to measure business cycle turning points in Japan. This Markov Switching Panel model is simple and can easily be estimated following Hamilton's [J.D. Hamilton, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica 57 (1989) 357–384] method. We find that this model is highly capable of identifying Japanese recessionary dates, and it also has a forecast performance that is equal to that of the Markov Switching Vector Autoregressive model. The implication that emerges here is that governments, their agencies and other business leaders in Japan and elsewhere should also employ the Markov Switching Panel model to secure complementary data.

Keywords: Markov Switching Panel model; Business cycle; Turning points (search for similar items in EconPapers)
JEL-codes: C33 E32 (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:76:y:2007:i:4:p:263-270

DOI: 10.1016/j.matcom.2006.11.003

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