Markov-switching models and the unit root hypothesis in real US GDP

I find that real US GDP is better characterized as a trend stationary Markov-switching process than as having a (regime-dependent) unit root. I examine the effects of both assumptions on the analysis of business cycle features and their implications for the persistence of the dynamic response of output to a random disturbance.

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Year of publication:	2011
Authors:	Camacho, Maximo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 112.2011, 2, p. 161-164
Publisher:	Elsevier
Keywords:	Business cycles Output growth Time series

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009146133