Download Advances in Markov-Switching Models: Applications in by James D. Hamilton, Baldev Raj PDF

By James D. Hamilton, Baldev Raj

This e-book 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 company cycle study and finance. The creation surveys the present equipment and new result of the decade. person chapters research positive aspects of the U. S. and ecu enterprise cycles with specific specialize in the function of economic coverage, oil shocks and co­ pursuits between key variables. The short-run as opposed to long-run outcomes of an monetary recession also are mentioned. one other zone that's featured is an intensive research of foreign money crises and the potential of bubbles or fads in inventory costs. A concluding bankruptcy deals precious new effects on checking out for this sort of regime-switching behaviour. total, the ebook offers a state of the art over­ view of latest instructions in tools and effects for estimation and inference in accordance with using Markov-switching time-series research. a distinct characteristic of the publication is that it comprises a demonstration of a variety of functions in line with a typical technique. it truly is anticipated that the subject matter of the ebook could be of specific curiosity to the macroeconomics readers in addition to econometrics execs, students and graduate scholars. we want to exhibit our gratitude to the authors for his or her robust contributions and the reviewers for his or her tips and cautious awareness to element of their reports.

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With N = I, and J-il = we have Kim and Nelson's (1999a) univariate model. In the multivariate framework, when Ai = and J-il = 0, the linear dynamic factor model of Stock and Watson (1989, 1991, 1993) emerges. -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.

2. 1(st-dl + u" utlst ~ NID(O, (}'2). 1(St) takes on one of the values PI < ... 1M, depending on which of the M regimes the process is in. , ~111 E (0,1) for all m = I, ... , M, where ~m is the ergodic or unconditional probability of regime m. The findings of Raymond and Rich (1997) support the assumption of time-invariant transition probabilities: M pij=prob(stfl =jlst=i), LPij= I Vi,jE{l, ... ,M}. (2) j=1 Clements and Krolzig (2000) establish the following propositions concerning the restrictions on the parameter space of the MSM-AR model that correspond to the concepts of steepness and deepness (the restrictions implied by sharpness follow immediately): Proposition 1.

Journal of Business and Economic Statistics 12:461-70 Hamilton JD (1989) A new approach to the economic analysis of non stationary time series and the business cycle. Econometrica 57:357-384 Hamilton JD (1994) Time series analysis. Princeton University Press, Princeton Hansen BE (1992) The likelihood ratio test under non-standard conditions: Testing the Markov switching model of GNP. Journal of Applied Econometrics 7:S61-S82 Hansen BE (1996) Inference when a nuisance parameter is not identified under the null hypothesis.

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