English, Article, Journal or magazine article edition: Modelling Business Cycle Features Using Switching Regime Models Hans-Martin Krolzig; Michael Clements

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Bookmark: http://trove.nla.gov.au/version/20432
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Modelling Business Cycle Features Using Switching Regime Models
Author
  • Hans-Martin Krolzig
  • Michael Clements
Physical Description
  • preprint
Notes
  • The ability of Markov-switching (MS) autoregressive models to replicate selected classical business-cycle features found in US post-war consumption, investment and output is compared to that of linear models. Univariate MS models appear to offer more dynamically parsimonious representations, but generally are unable to reproduce features missed by linear models. In the multivariate models, some cointegration restrictions were found to have a crucial impact, and the ability of models that imposed cointegration to reproduce business cycle features was enhanced by Markov-switching
  • business cycle asymmetries, Markov-switching models, cointegration
  • RePEc:oxf:wpaper:058
Language
  • English
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