Kim, Chang-Jin; Piger, Jeremy M.; Startz, Richard - Federal Reserve Bank of St. Louis - 2004
a strong business cycle correlation. This can be seen in recent
applications of the regime-switching model to … regression, such
as the macroeconomic shocks to the VAR, would be correlated with the business cycle. As
another example, some … Cointegration, ed. C. Hargreaves,
Oxford University Press, Oxford, U.K.
Filardo, A.J., 1994, Business-Cycle Phases and Their …