Markov-switching stochastic trends and economic fluctuations

DOI10.1016/J.JEDC.2003.07.002MaRDI QIDQ953740zbMATH OpenOpenAlexFDO

Authors Maximo Camacho

Publication date 6 November 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2003.07.002

zbMATH Keywords

Markov-switchingasymmetric adjustmentnon-linear error correction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Economic growth models (91B62)

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Cites work

• scientific article; zbMATH DE number 1944302 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A comparison of two business cycle dating methods
• A non-linear error correction mechanism based on the bilinear model
• A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Impulse response analysis in nonlinear multivariate models
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Multivariate star analysis of money-output relationship
• Nonlinear stochastic trends
• Nonparametric cointegration analysis
• On square-integrability of an AR process with Markov switching
• Stationarity of multivariate Markov-switching ARMA models
• Testing for Common Trends
• Threshold Cointegration

Cited in

(9)

• Stochastic stability and bifurcation in a macroeconomic model
• Do TFP and the relative price of investment share a common I(1) component?
• On pricing and hedging options in regime-switching models with feedback effect
• Trends and random walks in macroeconomic time series
• Absorption of shocks in nonlinear autoregressive models
• Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends
• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• Dynamic macromodels of unstable processes in transition to a market economy
• NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1

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