Giordani, P.; Kohn, R.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2005
nonlinear time series models, including threshold, smooth transition and Markov-Switching models, can be written in state … transition and Markov-Switching
models, can be written in state-space form. It is then straightforward to add com-
ponents that …-space models; Markov-switching models; Threshold models; Bayesian
inference; Business cycle asymmetry
JEL Classi cation Codes: C11 …
