Search Results - subject:"Markov Switching Models"

Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models

Garcia, René - Centre Interuniversitaire de Recherche en Analyse des … - 1995

established, such is not the case for the corresponding testing procedures. The Markov switching models raise a special problem … variable, the distributional theory proposed by Hansen (1991a) is applicable to Markov switching models under certain … assumptions. Based on this framework, we derive analytically, in the context of two-state Markov switching models, the asymptotic …

Persistent link: https://www.econbiz.de/10005627155

Prediction of Business Cycle Turning Points in Germany / Prognose konjunktureller Wendepunkte in Deutschland

Fritsche, Ulrich; Kuzin, Vladimir - In: Jahrbücher für Nationalökonomie und Statistik 225 (2005) 1, pp. 22-43

Estrella and Mishkin (1997) as well as Markov-switching models were taken into consideration. The overall results indicate that …

Persistent link: https://www.econbiz.de/10014609025

TESTING FOR REGIME SWITCHING IN SINGAPOREAN BUSINESS CYCLES

BREUNIG, ROBERT; STEGMAN, ALISON - In: The Singapore Economic Review (SER) 50 (2005) 01, pp. 25-34

We examine a Markov-Switching model of Singaporean GDP using a combination of formal moment-based tests and informal graphical tests. The tests confirm that the Markov-Switching model fits the data better than a linear, autoregressive alternative. The methods are extended to allow us to identify...

Persistent link: https://www.econbiz.de/10005047192

Prediction of Business Cycle Turning Points in Germany

Fritsche, Ulrich; Kuzin, Vladimir - In: Journal of Economics and Statistics (Jahrbuecher fuer … 225 (2005) 1, pp. 22-43

Estrella and Mishkin (1997) as well as Markov-switching models were taken into consideration. The overall results indicate that …

Persistent link: https://www.econbiz.de/10005668440

Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles

Bonomo, Marco; Garcia, René - Centre Interuniversitaire de Recherche en Analyse des … - 1994

In this paper, we match both the first and the second moments of the equity premium and the risk-free rate by endowing the agents in the economy with disappointment aversion preferences and by making the joint process of consumption and dividends follow a Hamilton's (1989) Markov switching...

Persistent link: https://www.econbiz.de/10005627173

Do Markov-switching models capture nonlinearities in the data?

Breunig, Robert V; Pagan, Adrian R - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 3, pp. 401-407

Markov-switching models have become popular alternatives to linear autoregressive models. Many papers which estimate …

Persistent link: https://www.econbiz.de/10010749245

Markov Switching Models for GDP Growth in a Small Open Economy: The New Zealand Experience

Buckle, Robert A.; Haugh, David; Thomson, Peter - In: Journal of Business Cycle Measurement and Analysis 2004 (2004) 2, pp. 227-257

This paper fits Markov switching models to quarterly New Zealand aggregate GDP growth rates for the period 1978:1 to … parsimonious, four state, Markov switching models which encompass a wide range of stationary time series behaviour from linear AR(1 …

Persistent link: https://www.econbiz.de/10008492398

On Asymmetric Business Cycle Effects on Convergence Rates: Some European Evidence

María-Dolores, Ramón; Sancho, Israel - Society for Computational Economics - SCE - 2004

In this paper, we provide empirical evidence for some European countries, over the period 1963-2000, on whether business cycle affects convergence process or catching-up. To do so, we first evaluate beta-convergence. We find evidence in favour of this type of convergence for six countries...

Persistent link: https://www.econbiz.de/10005345285

Markov Switching Garch Models of Currency Crises in Southeast Asia

Brunetti, Celso; Mariano, Roberto S.; Scotti, Chiara; … - Department of Economics, University of Pennsylvania - 2003

This paper develops a model which is able to forecast exchange rate turmoil. Our starting point relies on the empirical evidence that exchange rate volatility is not constant. In fact, the modeling strategy adopted refers to the vast literature of the GARCH class of models, where the variance...

Persistent link: https://www.econbiz.de/10005102110

Seasonal Adjustment and the Detection of Business Cycle Phases

Matas-Mir, A; Osborn, D R - School of Economics, University of Manchester - 2003

of the linear symmetric X-11 filter differs with the duration of the regime. Through the use of Markov switching models …

Persistent link: https://www.econbiz.de/10005341898