Markov-switching dynamic factor models in real time

A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models by

Though Hamilton's (1989) Markov switching model has been widely estimated in various contexts, formal testing for Markov switching is not straightforward. Univariate tests in the classical framework by Hansen (1992) and Garcia (1998) do not reject the linear model for GDP. We present Bayesian tests for Markov switching in both univariate and multivariate settings based on sensitivity of the pos...

Markov-Switching Models

Multivariate Markov Switching Common Factor Models for the U.k

This paper forms part of the ESRC funded project (Award No. L1382511013) " Business Cycle Volatility and Economic Growth: A Comparative Time Series Study " , which itself is part of the Understanding the Evolving Macroeconomy Research programme. My thanks to Kate Morrison for providing excellent research assistance.

Asymmetric Effects of Monetary Policy and Business Cycles in Iran using Markov-switching Models

This paper investigates the asymmetric effects of monetary policy on economic growth over business cycles in Iran. Estimating the models using the Hamilton (1989) Markov-switching model and by employing the data for 1960-2012, the results well identify two regimes characterized as expansion and recession. Moreover, the results show that an expansionary monetary policy has a positive and statist...

Non-homogeneous hidden Markov-switching models for wind time series

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