Empirical studies in Marketing have typically characterized a household's purchase incidence decision, i.e. the household's decision of whether or not to buy a product on a given shopping visit, as being independent of the household's purchase incidence decisions in other product categories....

This book surveys new advances in Markov-switching models with applications to business cycle research and finance. The extensive editors' introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U.S. and European business cycles,...

This paper uses a time-varying parameter Markov switching model to measure linkages between business confidence, consumer confidence, and the state of the economy in the US and the UK. Falling business confidence significantly increases the probability that growth will subsequently fall. Rising...

In this paper we demonstrate that exchange rate regime switching is compatible with optimal government policies. Nominal exchange-rate regimes are formalized as equilibrium commitments on future seigniorage policies, and the collapse of an exchange-rate peg as an excusable default which allows...

Risk premia in the stock market are assumed to move with time varying risk. We present a model in which the variance of time excess return of a portfolio depends on a state variable generated by a first-order Markov process. A model in which the realization of the state is known to economic...