Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?
Michael Clements and
Hans-Martin Krolzig ()
International Journal of Finance & Economics, 2004, vol. 9, issue 1, 1-14
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 generally are unable to reproduce features missed by linear models. In the multivariate models, some cointegration restrictions were found to have a crucial impact, and the ability of models that imposed cointegration to reproduce business cycle features was enhanced by Markov switching. Copyright © 2004 John Wiley & Sons, Ltd.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed
Downloads: (external link)
http://hdl.handle.net/10.1002/ijfe.231 Link to full text; subscription required (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:9:y:2004:i:1:p:1-14
Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307
Access Statistics for this article
International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley
More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().