An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching
提出一个带体制转换的动态因子模型来刻画商业周期，结合了宏观经济变量的协同波动和周期扩张与收缩的非对称性，并通过最大似然估计验证了该模型在样本内外及修订和实时数据上的优越表现。
A dynamic factor model with regime switching is proposed as an empirical characterization of business cycles. The approach integrates the idea of comovements among macroeconomic variables and asymmetries of business cycle expansions and contractions. The first is captured with an unobservable dynamic factor and the second by allowing the factor to switch regimes. The model is estimated by maximizing its likelihood function and the empirical results indicate that the combination of these two features leads to a successful representation of the data relative to extant literature. This holds for within and out-of-sample, and for both revised and real-time data. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.