Business cycle durations

被引:106
|
作者
Filardo, AJ [1 ]
Gordon, SF
机构
[1] Fed Reserve Bank, Kansas City, MO 64198 USA
[2] Univ Laval, Dept Econ, Quebec City, PQ G1K 7P4, Canada
[3] Univ Laval, CREFA, Quebec City, PQ G1K 7P4, Canada
关键词
business cycles; Markov switching; conditional expected durations; Gibbs sampling; probit model;
D O I
10.1016/S0304-4076(97)00096-1
中图分类号
F [经济];
学科分类号
02 ;
摘要
While the development of Markov switching extensions to time series modeling has provided a useful way of characterizing business cycle dynamics, these models are not without their weaknesses. One problem is posed by the fact that since the state space for the unobserved state variables grows with the sample size, sampling distributions for maximum-likelihood estimates are difficult to establish. A second problem is that since the transition probabilities are constant, the conditional expected duration of a phase is constant. This paper extends the model so that the information contained in leading indicator data can be used to forecast transition probabilities. These transition probabilities can then be used to calculate expected durations. The model is applied to US data to evaluate its ability to explain observed business cycle durations. The technical problems encountered with classical techniques are avoided by using Bayesian methods. Gibbs sampling techniques are used to calculate expected posterior durations. (C) 1998 Elsevier Science S.A. All rights reserved.
引用
收藏
页码:99 / 123
页数:25
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