haku: @indexterm DURATION ANALYSIS / yhteensä: 32
viite: 19 / 32
| Tekijä: | Kim, C.-J. Nelson, C. |
| Otsikko: | Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching |
| Lehti: | Review of Economics and Statistics
1998 : MAY, VOL. 80:2, p. 188-201 |
| Asiasana: | DURATION ANALYSIS DYNAMIC MODELS ECONOMICS |
| Kieli: | eng |
| Tiivistelmä: | The synthesis of the dynamic factor model of Stock and Watson and the regime-switching model of Hamilton proposed by Diebold and Rudebusch potentially encompasses both features of the business cycle identified by Burns and Mitchell: comovement among economic variables through the cycle and nonlinearity in its evolution. However, maximum likelihood estimation has required approximation. Recent advances in multimove Gibbs sampling methodology open the way to approximation-free inference in such non-Gaussian, nonlinear models. |
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