A Markov‐Switching Model Of Gnp Growth With Duration Dependence*
用马尔可夫转换模型分析二战后美国实际GNP季度增长数据，发现扩张期越长结束概率越低，而衰退期越长结束概率越高，且扩张期增长逐渐放缓。
A Markov‐switching model of postwar quarterly real GNP growth is used to examine the duration dependence of business cycles. It extends the Hamilton model and the duration‐dependent model of Durland and McCurdy, and compares quite favorably to simpler models in out‐of‐sample forecasting. When an expansion begins, the probability of the expansion ending is 0.2, but it gradually decreases as the expansion ages. When a contraction begins, the probability of the contraction terminating is 0.07, but it increases rapidly as the contraction ages. Output growth slows over the course of an expansion. The hypothesis of the 7–10‐year cycle is not supported.