March 16, 2018

Read e-book online Advances in Markov-Switching Models: Applications in PDF

By James D. Hamilton, Baldev Raj

ISBN-10: 3642511821

ISBN-13: 9783642511820

ISBN-10: 3642511848

ISBN-13: 9783642511844

This ebook is a suite of state of the art papers at the houses of commercial cycles and monetary research. the person contributions hide new advances in Markov-switching versions with functions to company cycle examine and finance. The advent surveys the present equipment and new result of the decade. person chapters research beneficial properties of the U. S. and ecu company cycles with specific concentrate on the function of economic coverage, oil shocks and co­ pursuits between key variables. The short-run as opposed to long-run effects of an monetary recession also are mentioned. one other region that's featured is an in depth research of forex crises and the potential of bubbles or fads in inventory costs. A concluding bankruptcy bargains precious new effects on trying out for this sort of regime-switching behaviour. total, the booklet presents a cutting-edge over­ view of latest instructions in tools and effects for estimation and inference in keeping with using Markov-switching time-series research. a distinct characteristic of the ebook is that it comprises a demonstration of quite a lot of purposes in accordance with a typical technique. it really is anticipated that the topic of the publication can 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 powerful contributions and the reviewers for his or her guidance and cautious cognizance to aspect of their reports.

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Common Penn anent Component 5,-------------------------------, o -5 -10 -15 -20 -25 +rrn~~rn~rn~"rn"~rn"rn~~ 60 65 70 75 80 85 90 95 Fig. 4. Common Transitory Component 5. Why was there no high-growth recovery following the 1990-91 recession? There are several potential explanations for what did and did not cause the slow recovery following the 1990-91 recession. Sichel (1994) argues that changes in real inventory investment are the source of the three-phase business cycle. Specifically, real final sales (real GDP less inventories) do not display above average growth following a recession, but inventory investment does display above average growth.

F (I,j) vanance 0 '7 111-1' As noted by Harrison and Stevens (1976) and Gordon and Smith (1988) each iteration of the Kalman filter produces a 4-fold increase in the number of cases to consider. -J. Kim, C. J. (LlYtl St = j, St-I = i, Qt-I) = (2nfTI21J,(i,j) tit-I 1- 1/2 exp { - ~2 fJ(i,jl' J,(i,jr' fJ(i,j) }. (LlYtIQt-d with 4 Pr[St = j IQtJ L Pr[St = j, St-I = i IQtJ. i=1 To initialize the above filter, we use the steady-state probabilities. As a byproduct of the above filter in Step 2, we obtain the log likelihood function: T InL = L In(f(LlYt liftt-Il) t=1 which can be maximized with respect to the parameters of the model.

Steepness implies skewness in the first difference of the de trended series. Positive skewness suggests steepness of expansions: increases should be larger, though less frequent, than decreases. On the basis of these tests, deepness is found to characterize quarterly post-War US unemployment and industrial production, with weaker evidence for GNP, while only unemployment (of the three) appears to exhibit steepness. Because the observations on the detrended series typically exhibit some dependence, Sichel (1993, p.

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Advances in Markov-Switching Models: Applications in Business Cycle Research and Finance by James D. Hamilton, Baldev Raj

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