STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS

Robert E. McCulloch; Ruey S. Tsay

doi:10.1111/j.1467-9892.1994.tb00208.x

STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS

Robert E. McCulloch, Ruey S. Tsay

Research output: Contribution to journal › Article › peer-review

96 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 language	English (US)
Pages (from-to)	523-539
Number of pages	17
Journal	Journal of Time Series Analysis
Volume	15
Issue number	5
DOIs	https://doi.org/10.1111/j.1467-9892.1994.tb00208.x
State	Published - Sep 1994
Externally published	Yes

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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10.1111/j.1467-9892.1994.tb00208.x

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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.",

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AB - 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.

KW - Bayesian inference

KW - Gibbs sampler

KW - gross national product

KW - sensitivity analysis

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STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS

Abstract

Keywords

ASJC Scopus subject areas

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