Identification of business cycles and the Great Moderation in the post-war U.S. economy

DOI10.1016/J.ECONLET.2020.109072MaRDI QIDQ2180739zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 14 May 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2020.109072

zbMATH Keywords

Bayesianbusiness cyclesgreat moderationidentification of stateslabel switchingMarkov-switching model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

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Cites work

• A Bayesian method for classification and discrimination
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Calculating posterior distributions and modal estimates in Markov mixture models
• Chapter 1 Dating Business Cycle Turning Points
• Computational and Inferential Difficulties with Mixture Posterior Distributions
• Dealing With Label Switching in Mixture Models
• Finite mixture and Markov switching models.
• Inference and prediction in a multiple-structural-break model
• Interpretation and inference in mixture models: simple MCMC works
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Markov chain Monte Carlo methods and the label switching problem in Bayesian mixture modeling
• Modeling Multiple Regimes in the Business Cycle

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