Business-Cycle Analysis With a Markov-Switching Model
用汉密尔顿马尔可夫转换模型分析八个发达经济体的商业周期，发现预测和设定检验相比线性自回归模型改进有限，但条件概率能识别出与传统方法高度相关的转折点，且多数国家拒绝周期对称性假设。
This article explores the Hamilton Markov-switching model through an analysis of the business cycles of eight developed market economies. Forecasting and specification tests suggest only marginal improvements over linear autoregressive models. Yet filtered and smoothed conditional probabilities indicate turning points in business cycles that closely correlate with turning points from traditional methods. Tests regarding the asymmetry of business cycles reject the null of symmetry for most countries.