Markov-switching stochastic trends and economic fluctuations

DOI10.1016/j.jedc.2003.07.002zbMath1202.91274OpenAlexW2031281141MaRDI QIDQ953740

Maximo Camacho

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2003.07.002

zbMATH Keywords

Markov-switchingasymmetric adjustmentnon-linear error correction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Economic growth models (91B62)

Related Items (5)

Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends ⋮ On pricing and hedging options in regime-switching models with feedback effect ⋮ Stochastic stability and bifurcation in a macroeconomic model ⋮ NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1 ⋮ Absorption of shocks in nonlinear autoregressive models

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