DURATION-DEPENDENT TRANSITIONS IN A MARKOV MODEL OF UNITED-STATES GNP GROWTH

被引：135

作者：

DURLAND, JM ^{[1
]}

MCCURDY, TH ^{[1
]}

机构：

[1] QUEENS UNIV,DEPT ECON,KINGSTON K7L 3N6,ONTARIO,CANADA

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1994年 / 12卷 / 03期

关键词：

NONLINEAR ASYMMETRIC CYCLES; REGIME SWITCHES; TIME-VARYING TRANSITION PROBABILITIES;

D O I：

10.2307/1392084

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Hamilton's nonlinear Markovian filter is extended to allow state transitions to be duration dependent. Restrictions are imposed on the state transition matrix associated with a tau-order Markov system such that the corresponding first-order conditional transition probabilities are functions of both the inferred current state and also the number of periods the process has been in that state. High-order structure is parsimoniously summarized by the inferred duration variable. Applied to U.S. postwar real GNP growth rates, we obtain evidence in support of nonlinearity, asymmetry between recessions and expansions, and duration dependence for recessions but not for expansions.

引用

页码：279 / 288

页数：10