In this paper we model the rate of growth of per capita output as a two-state Markov-switching process. We consider panel data sets for OECD countries, USA states and two wider samples of countries. For each sample, we attempt to characterize each regime's first and second moments, the...

In this paper, I present empirical evidence for …ve European countries (Germany, France, UK, Spain and Italy) and the Euro-zone on whether monetary policy shocks produce di¤erent e¤ects on real output growth depending on the phase of the business cycle that the economy is undergoing (the...

The purpose of this monograph is to present a unified econometric framework for dealing with the issues of endogeneity in Markovswitching models and time-varying parameter models, as developed by Kim (2004, 2006, 2009), Kim and Nelson (2006), Kim et al. (2008), and Kim and Kim (2009). While...

The ability of Markov-switching (MS) autoregressive models to replicate selected classical business-cycle features found in US post-war consumption, investment and output is compared to that of linear models. Univariate MS models appear to offer more dynamically parsimonious representations, but...