New directions in business cycle research and financial analysis

James Hamilton and Baldev Raj ()
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Baldev Raj: School of Business and Economics, Wilfrid Laurier University, 75 University Aveneu, Waterloo, Ontario, Canada N2L 3C5

Empirical Economics, 2002, vol. 27, issue 2, 149-162

Abstract: This paper serves as a partial introduction to and survey of the literature on Markov-switching models. We review the history of this class of models, describe their mathematical structure, and exposit the basic ideas behind estimation and inference. The paper also describes how the approach can be extended in a variety of directions, such as non-Gaussian distributions, time-varying transition probabilities, vector processes, state-space and GARCH models, and surveys recent methodological advances. The contributions of the other papers in this volume are reviewed. A final section offers conclusions and implications for policy.

Keywords: Markov-switching; regime-switching; business cycles (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2002-04-26
Note: Received: August 2001/Final Version Received: October 2001
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Citations: View citations in EconPapers (29)

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