Regime-Switching Models for Disaggregated Data
面向细分数据的状态转换模型
We show analytically and via simulation that cross-sectional aggregation can substantially attenuate regime-switching signals in time-series data, making regime switches harder to detect. Building on this, we develop regime-switching models and an estimation algorithm which allow for autoregressive dynamics and grouped heterogeneity. We apply the approach to a U.S. macroeconomic dataset of 94 series, covering components of real gross domestic product, industrial production,…