By James D. Hamilton, Baldev Raj
This booklet is a suite of state of the art papers at the houses of commercial cycles and monetary research. the person contributions disguise new advances in Markov-switching versions with functions to enterprise cycle examine and finance. The advent surveys the present equipment and new result of the decade. person chapters research beneficial properties of the U. S. and eu company cycles with specific concentrate on the position of financial coverage, oil shocks and co activities between key variables. The short-run as opposed to long-run effects of an fiscal recession also are mentioned. one other region that's featured is an intensive research of foreign money crises and the potential of bubbles or fads in inventory costs. A concluding bankruptcy bargains important new effects on checking out for this sort of regime-switching behaviour. total, the publication presents a state of the art over view of latest instructions in equipment and effects for estimation and inference in accordance with using Markov-switching time-series research. a different function of the ebook is that it contains a demonstration of a variety of purposes in accordance with a standard technique. it really is anticipated that the subject matter of the ebook could be of specific curiosity to the macroeconomics readers in addition to econometrics pros, students and graduate scholars. we want to show our gratitude to the authors for his or her powerful contributions and the reviewers for his or her suggestions and cautious recognition to aspect of their reports.
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Additional resources for Advances in Markov-Switching Models: Applications in Business Cycle Research and Finance
Sample text
The panels show (i) the quarterly growth rate in the oil price (Doil), (ii) Hamilton's net oil price variable (NOPI), (iii) Hamilton's net oil price variable relative to the previous three years (N30PI), (iv) the Lee, Ni and Ratti (LNR) variable, and (v) a time series of exogenous supply disruptions (Quant). Also shown are the NBER-dated recessions. M. P. -M. Krolzig 48 the order in which 'insignificant' variables (or groups of variables) are deleted. We use David F. Hendry and Hans-Martin Krolzig's PcGets to automate the simplification procedure.
Deepness. Sichel (1993). The process {XI} is said to be non-deep (non-tall) iff XI is not skewed: Analogously we can define steepness as skewness of the differences: Definition 2. Steepness. Sichel (1993). The process {XI} is said to be non-steep iffAxt is not skewed: Negative skewness of X t and Ax, indicates deep and steep contractions. uJ 3] > 0) and steep (Axi positively skewed) expansions, although all combinations are possible. Definition 3. Sharpness. McQueen and Thorley (1993). The process {XI} is said to be non-sharp iff the transition probabilities to and from the two outer regimes are identical: Pml = PmM, Plm = PM"" Can oil shocks explain asymmetries in the US Business Cycle?
J. Kim and Yoo (1995), Chauvet (1998), and Kim and Nelson (1998). dcl , and the common transitory component, XI, are governed by two different state variables, Sit and S21. This allows a recession to arise from one of two sources: a switch in the common growth component, or a 'pluck' in the common cycle. In addition, the timing and duration of Sit and S2! are allowed to vary across recessIOns. 2. Estimation of the model Since the state variables, Sit and S21, are unobserved, our model is nonlinear, and calculation of the exact Gaussian likelihood function is not possible.