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Modeling the European cycle with factor structure and regime switching

โœ Scribed by Jose Ramon Cancelo


Book ID
105529646
Publisher
Springer US
Year
2004
Tongue
English
Weight
850 KB
Volume
10
Category
Article
ISSN
1083-0898

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