STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS

Robert McCulloch, Ruey S. Tsay

Research output: Contribution to journalArticle

77 Scopus citations

Abstract

Abstract. 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.

Original languageEnglish (US)
Pages (from-to)523-539
Number of pages17
JournalJournal of Time Series Analysis
Volume15
Issue number5
DOIs
StatePublished - 1994
Externally publishedYes

Keywords

  • Bayesian inference
  • Gibbs sampler
  • gross national product
  • sensitivity analysis

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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