Duration Dependent Transitions in a Markov Model of U.S. GNP Growth

J. Michael Durland and Thomas McCurdy

No 887, Working Paper from Economics Department, Queen's University

Abstract: Hamilton's (1989) nonlinear Markovian filter is extend to allow state transitions to be duration dependent. Restrictions are imposed on the state transition matrix associated with a T-order Markov system such that the corresponding first-order conditional transition probabilities are functions of both the inferred current state and also the number of periods the process has been in that state. High-order structure is parsimoniously summarized by the inferred duration variable. Applied to U.S. post-war real GNP growth rates, we obtain evidence in support of nonlinearity, asymmetry between recessions and expansions, as well as strong duration dependence for recessions but not for expansions

Keywords: time-varying transition probabilities; regime-switches; nonlinear asymmetric cycles (search for similar items in EconPapers)
Pages: 37 pages
Date: 1993-10
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Citations: View citations in EconPapers (1)

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http://qed.econ.queensu.ca/working_papers/papers/qed_wp_887.pdf First version 1993 (application/pdf)

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Journal Article: Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:887

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