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Identifying US turning points revisited: the panel model with the regime switching approach

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  • Shyh-Wei Chen

Abstract

This article proposes a panel model with a regime switching mechanism to analyse the feature of US business cycles. This Markov Switching Panel model is simple and can easily be estimated using Hamilton's (1989) method. We test the ability of the Markov Switching Panel model to identify US turning points using the US coincident indicator data. The empirical evidence shows that this model is highly capable of identifying US recessionary dates. It also has a better forecast performance than the Markov Switching vector autoregressive model.

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  • Shyh-Wei Chen, 2008. "Identifying US turning points revisited: the panel model with the regime switching approach," Applied Economics Letters, Taylor & Francis Journals, vol. 15(11), pages 893-897.
    • Handle: RePEc:taf:apeclt:v:15:y:2008:i:11:p:893-897
    DOI: 10.1080/13504850600905030
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    1. Allan Layton & Daniel Smith, 2000. "A further note on the three phases of the US business cycle," Applied Economics, Taylor & Francis Journals, vol. 32(9), pages 1133-1143.
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    7. Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
    8. Hansen, Bruce E, 1992. "The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 61-82, Suppl. De.
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    Cited by:

    1. Marcin Olkiewicz, 2022. "The Impact of Economic Indicators on the Evolution of Business Confidence during the COVID-19 Pandemic Period," Sustainability, MDPI, vol. 14(9), pages 1-17, April.

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