Growth cycles are often mistaken for business cycles, although these two have different statistical properties. In order to differentiate between them in a statistically satisfactory manner, the Bayesian information criterion-(BIC) based model-selection approach is presented. Business cycles are...

This article considers six alternative models-the normal model, normal model with parameter change, t model, t model with parameter change, normal and t model and the t and normal model-and the best model is selected using the Bayesian information criterion. The simulation results suggest that...

A new method is developed for detecting regime switches between cointegration and no-cointegration at unknown times allowing for switching lag structure. In this method, time-series observations are divided into several segments, and a regression model with or without cointegration is fitted to...

This paper investigates two problems which a practitioner of Johansen's cointegration analysis faces: the pre-testing problem and the inconsistency problem. Johansen's cointegration analysis requires hypothesis testing at four stages, and thus Type I errors accumulate. In addition, it often...