Markov - switching models and the unit root hypothesis in real U . S . GDP
نویسنده
چکیده
In this paper, I find that real U.S. GDP is better characterized as a trend stationary Markov-switching process than as having a (regime-dependent) unit root. I examine the effects of both assumptions on the analysis of business cycle features and their implications for the persistence of the dynamic response of output to a random disturbance. JEL Classification: E32, C22, E27.
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