Econometric Analysis of Business Cycles: A Survey with the Application to the Composite Index in Japan
综述了用于商业周期分析的计量经济学时间序列模型，重点介绍了马尔可夫转换模型及其贝叶斯估计，并将扩展模型应用于日本综合指数。
This article provides a comprehensive survey of the time series models employed for the econometric analysis of business cycles. In the first half, we explain the Markov switching (MS) model and its Bayesian estimation using Markov chain Monte Carlo. We also survey the extensions of the MS model and the other econometric models for business cycles. In the latter half, we extend the MS model such that the error term follows the Student’s t-distribution, the error variance follows a stochastic volatility model, and structural changes are allowed. We apply these extended models as well as the simple MS model to the composite index in Japan.