Farmer, Roger E. A.; Waggoner, Daniel F.; Zha, Tao - 2009
Economics, UCLA, 8283 Bunche Hall, Box
951477, Los Angeles, CA 90095-1477, 310-825-6547, rfarmer@econ.ucla.edu; Daniel F … switching models in economics were first discussed by Hamilton (1989) who
applied them to autoregressive models of gdp where the … the
following expression,
xt = Astxt¡1 +Bst»t; (10)
2Since there is a large economics literature that uses the term Markov …