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

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  • Camacho, Maximo

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.

Suggested Citation

  • Camacho, Maximo, 2011. "Markov-switching models and the unit root hypothesis in real US GDP," Economics Letters, Elsevier, vol. 112(2), pages 161-164, August.
    • Handle: RePEc:eee:ecolet:v:112:y:2011:i:2:p:161-164
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