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Author : Jiazhuo G. Wang
Publisher :
ISBN 13 :
Total Pages : 328 pages
Book Rating : 4.:/5 (343 download)
Download or read book On the Use of the Markov Regime-switching Model in Forecasting Business Cycle written by Jiazhuo G. Wang and published by . This book was released on 1993 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Zenon Kontolemis
Publisher : International Monetary Fund
ISBN 13 : 1451852967
Total Pages : 20 pages
Book Rating : 4.4/5 (518 download)
Download or read book Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model written by Mr.Zenon Kontolemis and published by International Monetary Fund. This book was released on 1999-08-01 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper identifies turning points for the U.S. business cycle using different time series. The model, a multivariate Markov-Swiching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with switching determined by a common Markov process. The procedure is applied to the series that make up the composite U.S. coincident indicator to obtain business cycle turning points. The business cycle chronology is closer to the NBER reference cycle than the turning points obtained from the individual series using a univariate model. The model is also used to forecast the series, with encouraging results.
Author : James D. Hamilton
Publisher : Springer Science & Business Media
ISBN 13 : 3642511821
Total Pages : 267 pages
Book Rating : 4.6/5 (425 download)
Download or read book Advances in Markov-Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
Author : Hans-Martin Krolzig
Publisher : Springer Science & Business Media
ISBN 13 : 364251684X
Total Pages : 369 pages
Book Rating : 4.6/5 (425 download)
Download or read book Markov-Switching Vector Autoregressions written by Hans-Martin Krolzig and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.
Author : Chengxuan Yu
Publisher :
ISBN 13 :
Total Pages : 220 pages
Book Rating : 4.3/5 (121 download)
Download or read book Dynamic Factor Markov Switching Model and Its Applications in Business Cycles written by Chengxuan Yu and published by . This book was released on 2001 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Siem Jan Koopman
Publisher : Emerald Group Publishing
ISBN 13 : 1785603523
Total Pages : 685 pages
Book Rating : 4.7/5 (856 download)
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Author : Penelope A. Smith
Publisher :
ISBN 13 : 9780734031518
Total Pages : 40 pages
Book Rating : 4.0/5 (315 download)
Download or read book How Well Do Markov Switching Models Describe Actual Business Cycles? written by Penelope A. Smith and published by . This book was released on 2004 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zenon G. Kontolemis
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (318 download)
Download or read book Analysis of the U.S. Business Cycle with a Vector-Markov-switching Model written by Zenon G. Kontolemis and published by . This book was released on 1999 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Steven Durlauf
Publisher : Springer
ISBN 13 : 0230280838
Total Pages : 417 pages
Book Rating : 4.2/5 (32 download)
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Author : Francis X. Diebold
Publisher : Princeton University Press
ISBN 13 : 9780691012186
Total Pages : 442 pages
Book Rating : 4.0/5 (121 download)
Download or read book Business Cycles written by Francis X. Diebold and published by Princeton University Press. This book was released on 1999-04-12 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: Table of Contents
Author : Thórarinn G. Pétursson
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (247 download)
Download or read book Business Cycle Forecasting and Regime Switching written by Thórarinn G. Pétursson and published by . This book was released on 2000 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeremy Nalewaik
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.E/5 ( download)
Download or read book Incorporating Vintage Differences and Forecasts Into Markov Switching Models written by Jeremy Nalewaik and published by . This book was released on 2007 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pierre Guérin
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (712 download)
Download or read book Markov-switching MIDAS Models written by Pierre Guérin and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of estimation and inference for MS-MIDAS, and a small sample simulation based evaluation, the MS-MIDAS model is applied to the prediction of the US and UK economic activity, in terms both of quantitative forecasts of the aggregate economic activity and of the prediction of the business cycle regimes. Both simulation and empirical results indicate that MSMIDAS is a very useful specification.
Download or read book Regime-switching in Expectations Over the Business Cycle written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Federal Reserve Bank of Philadelphia presents the full text of the November 1999 working paper entitled "Regime-switching in Expectations Over the Business Cycle," written by Gwen Eudey and Roberto Perli. The text is available in PDF format. This paper argues that a reason why output and other major U.S. macroeconomic time series seem to follow a Markov switching process could be related to expectations. The authors offer a business cycle model with shocks to expectations that produces time series with the same properties as the U.S. data.
Author : Monica Billio
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Business Cycle and Markov Switching Models with Distributed Lags written by Monica Billio and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Business cycle models are often investigated by using reduced form time series models, other than (or in alternative to) structural highly grounded in economic theory models. Reduced form VARMA with fixed parameters play a key role in business cycle analysis, but it is often found that by their very nature they do not typically capture the changing phases and regimes which characterize the economy. In this paper we show that well-known state space systems used to analyse business cycle in several empirical works can be comprised into a broad class of non linear models, the MSI-VARMA. These processes are M-state Markov switching VARMA models for which the intercept term depends not only on the actual regime but also on the last r regimes. We give stable finite order VARMA representations for these processes, where upper bounds for the stable VARMA orders are elementary functions of the parameters of the initial switching model. If there is no cancellation, the bounds become equalities, and this solves the identification problem. This result allows us to study US and European business cycles and to determine the number of regimes most appropriate for the description of the economic systems. Two regimes are confirmed for the US economy; the European business cycle exhibits, instead, strong non-linearities and more regimes are necessary. This is taken into account when performing estimation and regime identification.
Author : Sascha Joram
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book Business Cycle Measurement and Forecasting written by Sascha Joram and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
