An econometric characterization of business cycle dynamics with factor structure and regime switching

International Economic Review

Volumn 39, Issue 4, 1998, Pages 969-996

  Chauvet, Marcelle ^a,b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0012396692     PISSN: 00206598     EISSN: None     Source Type: Journal    
DOI: 10.2307/2527348     Document Type: Article

References (23)

1. ALBERT, J. AND S. CHIB, "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business and Economic Statistics 11 (1993), 1-15.
2. BOLDIN, M.D., "Dating Turning Points in the Business Cycle," Journal of Business 67 (1994), 97-131.
3. BURNS, A. AND W. MITCHELL, Measuring Business Cycles (New York: National Bureau of Economic Research, 1946).
4. BROCK, W.A., W. DECHERT, J. SCHEINKMAN, AND B. LEBARON, "A Test for Independence Based Upon The Correlation Dimension," Econometric Reviews 15 (1996), 197-235.
5. CHAUVET, M., "An Empirical Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching," Ph.D. Dissertation, University of Pennsylvania, 1995.
6. DIEBOLD, F.X. AND G.D. RUDEBUSCH, "Forecasting Output with the Composite Leading Index: A Real-Time Analysis," Journal of the American Statistical Association 86 (1991), 603-610.
7. _ AND _, "Measuring Business Cycles: A Modern Perspective," Review of Economics and Statistics 78 (1996), 67-77.
8. DICKEY, D.A. AND W.A. FULLER, "Distribution of the Estimators for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Society 74 (1979), 427-431.
9. GARCIA, R., "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review 39 (1998), 763-788.
10. HAMILTON, J., "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica 57 (1989), 357-384.
11. _, "Time Series Analysis" (Princeton: Princeton University Press, 1994).
12. _ AND G. PEREZ-QUIROS, "What Do the Leading Indicators Lead?" Journal of Business 69 (1996), 27-49.
13. HANSEN, B.E., "The Likelihood Ratio Test Under Non-Standard Conditions: Testing the Markov Trend Model of GNP," in M.H. Pesaran and S. Potter, eds., Nonlinear Dynamics Chaos and Econometrics (New York: John Wiley & Sons, 1993, pp. 53-73).
14. _, "Inference When a Nuisance Parameter is not Identified Under the Null Hypothesis," Econometrica 64 (1996), 413-430.
15. HARRISON, P.J. AND C.F. STEVENS, "Bayesian Forecasting," Journal of the Royal Statistic Society Series B 38 (1976), 205-247.
16. KIM, C.J., "Dynamic Linear Models with Markov-Switching," Journal of Econometrics 60 (1994), 1-22.
17. KIM, M.J. AND J.S. YOO, "New Index of Coincident Indicators: a Multivariate Markov Switching Factor Model Approach," Journal of Monetary Economics 36 (1995), 607-630.
18. SHEPHARD, N., "Partial Non-Gaussian State Space," Biometrika 81 (1994), 115-131.
19. SMITH, A.F.M. AND U.E. MAKOV, "Bayesian Detection and Estimation of Jumps in Linear Systems," in O.L.R. Jacobs, M.H.A. Davis, M.A.H. Dempster, C.J. Harris and P.C. Parks, eds., Analysis and Optimization of Stochastic Systems (New York: Academic Press, 1980, pp. 333-345).
20. STOCK, J.H. AND M.W. WATSON, "Testing for Common Trends," Journal of the American Statistical Association 83 (1988), 1097-1107.
21. _ AND _, "New Indexes of Coincident and Leading Economic Indicators," in O. Blanchard and S. Fischer, eds., NBER Macroeconomics Annual (Cambridge: MIT Press, 1989).
22. _ AND _, "A Probability Model of the Coincident Economic Indicators," in K. Lahiri and G.H. Moore, eds., Leading Economic Indicators: New Approaches and Forecasting Records (Cambridge: Cambridge University Press, 1991, pp. 63-89).
23. _ AND _, "A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience," in J.H. Stock and M.W. Watson, eds., Business Cycles, Indicators and Forecasting (Chicago: University of Chicago Press for NBER, 1993, pp. 255-284).