Business-Cycle Phases and Their Transitional Dynamics
扩展了Hamilton的非线性马尔可夫转换估计方法，引入随时间变化的阶段转换概率，发现模型推断的阶段演变与传统参考周期高度相关，并评估了标准领先指标的预测能力。
This article examines differences in expansionary and contractionary phases of the business cycle. By extending the nonlinear Markov-switching estimation method of Hamilton to incorporate time-varying probabilities of transitions between the phases, the marginal benefits of the time-varying transition probability Markov-switching model are highlighted. Using this technique, I document the high correlation between the evolution of the phases inferred from the model and traditional reference cycles for monthly output data. Many of the economic variables that determine the time-varying probabilities help to predict turning points. The predictive power of standard leading indicators is evaluated and compared.