Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?
DC Field | Value | Language |
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dc.contributor.author | Kim, Chang-Jin | - |
dc.date.accessioned | 2021-09-09T03:55:11Z | - |
dc.date.available | 2021-09-09T03:55:11Z | - |
dc.date.created | 2021-06-10 | - |
dc.date.issued | 2008-10 | - |
dc.identifier.issn | 0304-4076 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/122623 | - |
dc.description.abstract | We show that, for a class of univariate and multivariate Markov-switching models, exact calculation of the Beveridge-Nelson (BN) trend/cycle components is possible. The key to exact BN trend/cycle decomposition is to recognize that the latent first-order Markov-switching process in the model has an AR(1) representation, and that the model can be cast into a state-space form. Given the state-space representation, we show that impulse-response function analysis can be processed with respect to either an asymmetric discrete shock or to a symmetric continuous shock. The method presented is applied to Kim, Morley, Piger's [Kim, C.-J., Morley, J., Piger, J., 2005. Nonlinearity and the permanent effects of recessions. journal of Applied Econometrics 20, 291-309] univariate Markov-switching model of real GDP with a post-recession 'bounce-back' effect and Cochrane's [Cochrane, J.H., 1994. Permanent and transitory components of GNP and stock prices. Quarterly journal of Economics 109, 241-263] vector error correction model of real GDP and real consumption extended to incorporate Markov-switching. The parameter estimates, the BN trend/cycle components, and the impulse-response function analysis for each of these empirical models suggest that the persistence of US real GDP has increased since the mid-1980's. (c) 2008 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE SA | - |
dc.subject | ECONOMIC TIME-SERIES | - |
dc.subject | BUSINESS FLUCTUATIONS | - |
dc.subject | TRANSITORY COMPONENTS | - |
dc.subject | PLUCKING MODEL | - |
dc.subject | UNITED-STATES | - |
dc.subject | PERMANENT | - |
dc.subject | COMPUTATION | - |
dc.title | Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984? | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Chang-Jin | - |
dc.identifier.doi | 10.1016/j.jeconom.2008.08.014 | - |
dc.identifier.scopusid | 2-s2.0-53649101143 | - |
dc.identifier.wosid | 000260988100005 | - |
dc.identifier.bibliographicCitation | JOURNAL OF ECONOMETRICS, v.146, no.2, pp.227 - 240 | - |
dc.relation.isPartOf | JOURNAL OF ECONOMETRICS | - |
dc.citation.title | JOURNAL OF ECONOMETRICS | - |
dc.citation.volume | 146 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 227 | - |
dc.citation.endPage | 240 | - |
dc.type.rims | ART | - |
dc.type.docType | Article; Proceedings Paper | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.subject.keywordPlus | ECONOMIC TIME-SERIES | - |
dc.subject.keywordPlus | BUSINESS FLUCTUATIONS | - |
dc.subject.keywordPlus | TRANSITORY COMPONENTS | - |
dc.subject.keywordPlus | PLUCKING MODEL | - |
dc.subject.keywordPlus | UNITED-STATES | - |
dc.subject.keywordPlus | PERMANENT | - |
dc.subject.keywordPlus | COMPUTATION | - |
dc.subject.keywordAuthor | Beveridge-Nelson decomposition | - |
dc.subject.keywordAuthor | Markov switching | - |
dc.subject.keywordAuthor | Impulse-response function | - |
dc.subject.keywordAuthor | Persistence of real output | - |
dc.subject.keywordAuthor | State-space representation | - |
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