Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model /
This paper identifies turning points for the U.S. business cycle using different time series. The model, a multivariate Markov-Swiching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with switching determined by a common Markov process...
| Main Author: | |
|---|---|
| Format: | Journal |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
1999.
|
| Series: | IMF Working Papers; Working Paper ;
No. 1999/107 |
| Online Access: | Full text available on IMF |