Business cycle indicators are used to assess the economic situation of countries or regions. They are closely watched by the public, but are not easy to interpret. Does a current movement of the indicator signal a turning point or not? With the help of Markov Switching Models movements of...

Aggregated times series variables can be forecasted in different ways. For example, they may be forecasted on the basis of the aggregate series or forecasts of disaggregated variables may be obtained fi rst and then these forecasts may be aggregated. A number of forecasts are presented and...

I use three non-linear econometric models to identify and analyze business cycles in the Peruvian economy for the period 1980:1-2008:4. The models are the Smooth Transition Autoregressive (STAR) model suggested by Teräsvirta (1994), the extended version of the MarkovSwitching model proposed by...