Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984?

DOI10.1016/J.JECONOM.2008.08.014zbMath1429.62678OpenAlexW2129920823MaRDI QIDQ299215

Chang-Jin Kim

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.2008.08.014

zbMATH Keywords

Markov switchingBeveridge-Nelson decompositionstate-space representationimpulse-response functionpersistence of real output

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 (1)

Trend and cycle decomposition of Markov switching (co)integrated time series

Cites Work

• Estimation of Markov regime-switching regression models with endogenous switching
• Trend/cycle decomposition of regime-switching processes
• Computation of the Beveridge--Nelson decomposition for multivariate economic time series
• A state-space approach to calculating the Beveridge-Nelson decomposition.
• The Beveridge-Nelson decomposition of Markov-switching processes
• Testing for Common Trends
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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