Morley, James C.; Piger, Jeremy Max - In: Nonlinear time series analysis of business cycles, (pp. 75-95). 2006
in U.S. real GDP data related to business cycle phases. We focus our analysis on a number of linear ARIMA models and … nonlinear Markov-switching models. To determine the timing of business cycle phases for the simulated data, we present a model … Markov-switching models are able to reproduce business cycle features such as the average growth rate in recessions, the …