Business-Cycle Analysis With a Markov-Switching Model
基于马尔可夫转换模型的经济周期分析
This article explores the Hamilton Markov-switching model through an analysis of the business cycles of eight developed market economies. Forecasting and specification tests suggest only marginal improvements over linear autoregressive models. Yet filtered and smoothed conditional probabilities indicate turning points in business cycles that closely correlate with turning points from traditional methods. Tests regarding the asymmetry of business cycles reject the null of…