Trend/cycle decomposition of regime-switching processes

DOI10.1016/J.JECONOM.2008.08.009zbMath1429.62406OpenAlexW2109140349MaRDI QIDQ299214

Jeremy Piger, James C. Morley

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.009

zbMATH Keywords

nonlinearfilteringforecastingMarkov switchingunobserved components

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (3)

Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984? ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series ⋮ Does the survey of professional forecasters help predict the shape of recessions in real time?

Cites Work

• The zero-information-limit condition and spurious inference in weakly identified models
• Geometric equivalence of groups.
• Alternative definitions of the business cycle and their implications for business cycle models: A reply to Torben Mark Pederson.
• A state-space approach to calculating the Beveridge-Nelson decomposition.
• The Beveridge-Nelson decomposition of Markov-switching processes
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• On Gibbs sampling for state space models
• Are Output Fluctuations Transitory?

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