| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5059979 | Economics Letters | 2013 | 4 Pages |
Abstract
⺠We propose a Markov-switching component model. ⺠The mean and variance components are allowed to evolve independently. ⺠The model is applied to US real GNP and captures business cycles as well as structural changes in variance.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jurgen A. Doornik,