This chapter develops a toolkit of neoclassical macroeconomic models, and applies these models to the US economy from 1929 to 2014. We first filter macroeconomic time series into business cycle and long-run components, and show that the long-run component is typically much larger than the...

This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is...

This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes - Bayesian (static) model averaging and dynamic model averaging - so...

In this paper, we present new evidence from unobserved components time-series models on the cyclical behavior of the demand for education relative to economic cycles. We investigate the cyclical properties of schooling decisions, the time-varying exposure of these decisions to changes in the...

We forecast recessions in Canada using an autoregressive (AR) probit model. In this model, the presence of the lagged latent variable, which captures the autocorrelation in the recession binary variable, results in an intractable likelihood with a high dimensional integral. Therefore, we employ...

Business cycles are highly irregular fluctuations in economic activity. This article attempts to determine whether there are some properties of business cycles that can make them look more regular. This is done by analysing business cycle dynamics, especially by employing and adjusting to...