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| Author: | Lam, P-S. |
| Title: | A Markov-switching model of GNP growth with duration dependence |
| Journal: | International Economic Review
2004 : FEB, VOL. 45:1, p. 175-204 |
| Index terms: | Duration analysis Economic growth Gross national product Markov chains |
| Freeterms: | Switching model |
| Language: | eng |
| Abstract: | The duration dependence of business cycles is examined by using a Markov-switching model of postwar quarterly real GNP growth. It extends the Hamilton model and the duration-dependent model of Durland and McCurdy, and compares quite favorably to simpler models in out-of-sample forecasting. When an expansion begins, the probability of the expansion ending is 0.2, but is gradually decreased as the expansion ages. |
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