Paap, R.; Segers, R.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2007
lead times at business cycle peaks and troughs. For this purpose, we propose a novel Markov switching vector autoregressive … model, where economic growth and leading indicators share a common Markov process determining the state, but such that their … business cycle peaks
and troughs. For this purpose, we propose a novel Markov switching vector
autoregressive model, where …