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Theory ahead of business cycle measurement A comment on Prescott

✍ Scribed by Kenneth Rogoff

Book ID
116105248
Publisher
Elsevier Science
Year
1986
Weight
138 KB
Volume
25
Category
Article
ISSN
0167-2231

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Harding and Pagan note that their stripped-down Markov-switching model (3) -( 5) is an example of a standard state-space model, albeit with non-Gaussian innovations. This is indeed true of a broad class of Markov-switching models, as noted by Hamilton (1994, Section 4.1). Hence, one could always use