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Erscheinungsjahr: 
1993
Schriftenreihe/Nr.: 
Queen's Economics Department Working Paper No. 887
Verlag: 
Queen's University, Department of Economics, Kingston (Ontario)
Zusammenfassung: 
Hamilton's (1989) nonlinear Markovian filter is extend to allow state transitions to be duration dependent. Restrictions are imposed on the state transition matrix associated with a T-order Markov system such that the corresponding first-order conditional transition probabilities are functions of both the inferred current state and also the number of periods the process has been in that state. High-order structure is parsimoniously summarized by the inferred duration variable. Applied to U.S. post-war real GNP growth rates, we obtain evidence in support of nonlinearity, asymmetry between recessions and expansions, as well as strong duration dependence for recessions but not for expansions
Schlagwörter: 
time-varying transition probabilities
regime-switches
nonlinear asymmetric cycles
Dokumentart: 
Working Paper

Datei(en):
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