Comparison of regime switching, probit and logit models in dating and forecasting US business cycles

Can regime-switching models reproduce th

Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?

✍ Michael P. Clements; Hans-Martin Krolzig 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 195 KB 👁 1 views

## Abstract The ability of Markov‐switching (MS) autoregressive models to replicate selected classical business cycle features found in US post‐war consumption, investment and output is compared to that of linear models. Univariate MS models appear to offer more dynamically parsimonious representat