Markov-switching models and the unit root hypothesis in real US GDP

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 112
Issue: 2
Pages: 161-164

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

I find that real US GDP is better characterized as a trend stationary Markov-switching process than as having a (regime-dependent) unit root. I examine the effects of both assumptions on the analysis of business cycle features and their implications for the persistence of the dynamic response of output to a random disturbance.

Technical Details

RePEc Handle
repec:eee:ecolet:v:112:y:2011:i:2:p:161-164
Journal Field
General
Author Count
1
Added to Database
2026-01-25