Markov-switching stochastic trends and economic fluctuations
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Publication:953740
DOI10.1016/J.JEDC.2003.07.002zbMATH Open1202.91274OpenAlexW2031281141MaRDI QIDQ953740FDOQ953740
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
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- Nonstationarities and Markov switching models
- scientific article; zbMATH DE number 976336
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Economic growth models (91B62)
Cites Work
- Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Impulse response analysis in nonlinear multivariate models
- Nonparametric cointegration analysis
- Testing for Common Trends
- Threshold Cointegration
- A comparison of two business cycle dating methods
- Stationarity of multivariate Markov-switching ARMA models
- Title not available (Why is that?)
- Nonlinear stochastic trends
- Multivariate star analysis of money-output relationship
- On square-integrability of an AR process with Markov switching
- A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
- A non-linear error correction mechanism based on the bilinear model
Cited In (8)
- Stochastic stability and bifurcation in a macroeconomic model
- 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
- Title not available (Why is that?)
- 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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