Measuring business cycle turning points in Japan with the Markov Switching Panel model

DOI10.1016/J.MATCOM.2006.11.003MaRDI QIDQ2479429zbMATH OpenOpenAlexFDO

Authors Shyh-Wei Chen

Publication date 26 March 2008

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2006.11.003

zbMATH Keywords

business cycleMarkov switching panel modelturning points

Mathematics Subject Classification ID

Economic growth models (91B62) Economic time series analysis (91B84)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Geometric equivalence of groups.
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Lending cycles
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis

Cited in

(11)

• Distribution switching in financial time series
• Regime switching panel data models with interactive fixed effects
• Model averaging in Markov-switching models: predicting national recessions with regional data
• Measuring and predicting heterogeneous recessions
• Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
• Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK
• Cyclical dynamics of industrial production and employment: Markov chain-based estimates and tests
• Switching regression metamodels in stochastic simulation
• Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods
• Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
• A comparison of two business cycle dating methods

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