Non-Markovian regime switching with endogenous states and time-varying state strengths

Siddhartha Chib () and Michael Dueker
Additional contact information
Siddhartha Chib: https://olin.wustl.edu/faculty/siddhartha-chib

No 2004-030, Working Papers from Federal Reserve Bank of St. Louis

Abstract: This article presents a non-Markovian regime switching model in which the regime states depend on the sign of an autoregressive latent variable. The magnitude of the latent variable indexes the 'strength' of the state or how deeply the system is embedded in the current regime. In this model, regimes have dynamics, not only persistence, so that one regime can gradually give way to another. In this framework, it is natural to allow the autoregressive latent variable to be endogenous so that regimes are determined jointly with the observed data. We apply the model to GDP growth, as in Hamilton (1989), Albert and Chib (1993) and Filardo and Gordon (1998) to illustrate the relation of the regimes to NBER-dated recessions and the time-varying expected durations of regimes. The article makes use of the Metropolis-Hastings algorithm to make multi-move draws of the latent regime strength variable, where the extended Kalman filter provides a valid proposal density for the latent variable.

Keywords: time series analysis; Business cycles (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://s3.amazonaws.com/real.stlouisfed.org/wp/2004/2004-030.pdf Full Text (application/pdf)

Related works:
Working Paper: Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths (2004)
Working Paper: Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:2004-030

Ordering information: This working paper can be ordered from

DOI: 10.20955/wp.2004.030

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Scott St. Louis ().