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STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
Author(s) -
McCulloch Robert E.,
Tsay Ruey S.
Publication year - 1994
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1994.tb00208.x
Subject(s) - markov chain , series (stratigraphy) , mathematics , econometrics , variety (cybernetics) , markov model , set (abstract data type) , time series , constant (computer programming) , product (mathematics) , computer science , statistics , paleontology , biology , programming language , geometry
. In this paper we develop a very general Markov switching model for analysis of economic time series. Our general set‐up allows us to assess the effects of a variety of model and prior assumptions on the results. The growth rates of US quarterly real gross national product are used to illustrate the proposed analysis. We find that although the evidence is not strong the analysis does not support the model in which the dynamic behavior is constant and that allowing the dynamic structure to change affects the results. We also find that the results are sensitive to the prior specification.