Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189210 
Year of Publication: 
1993
Series/Report no.: 
Queen's Economics Department Working Paper No. 887
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
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
Subjects: 
time-varying transition probabilities
regime-switches
nonlinear asymmetric cycles
Document Type: 
Working Paper

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