Similar Search Results

A further test of the influence of leading indicators on the probability of US business cycle phase shifts

Layton, Allan P. - In: International journal of forecasting 14 (1998) 1, pp. 63-70

Persistent link: https://www.econbiz.de/10001242432

A new turning point signalling system using the Markov switching model with application to Japan, the USA and Australia

Layton, Allan P.; Katsuura, Masaki - In: Applied economics 33 (2001) 1, pp. 59-70

Persistent link: https://www.econbiz.de/10001545994

Do leading indexes really influence the probability of Australian business cycle phase shifts?

Layton, Allan P. - 1996

Persistent link: https://www.econbiz.de/10000610231

Markov-switching and stochastic volatility diffusion models of short-term interest rates

Smith, Daniel R. - 2000

Persistent link: https://www.econbiz.de/10001487318

Markov-switching and stochastic volatility diffusion models of short-term interest rates

Smith, Daniel R. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 183-197

Persistent link: https://www.econbiz.de/10001660372

Evaluating Specification Tests for Markov-Switching Time Series Models

Smith, Daniel R. - 2007

We evaluate the performance of several specification tests for Markov regime-switching time series models. We consider the Lagrange Multiplier and dynamic specification tests of Hamilton (1994) and Ljung-Box tests based on both the generalized residual and a standard-normal residual constructed...

Persistent link: https://www.econbiz.de/10012730343