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Zbl 0685.62092
Hamilton, James D.
A new approach to the economic analysis of nonstationary time series and the business cycle. (English)
[J] Econometrica 57, No.2, 357-384 (1989). ISSN 0012-9682; ISSN 1468-0262/e

The paper proposes a discrete-state Markov process model for specifying a nonstationary time series of economic data representing the business cycle. Thus the mean growth rate of a nonstationary series such as postwar U.S. real GNP is viewed subject to occasional, discrete shifts of regime due for example to oil shocks or Suez crisis. An empirical application of this technique to modeling changes in regime from an upswing to downswing and vice versa to US data on real GNP over 1951 to 1984 suggests that the periodic shift from a positive growth rate to a negative growth rate is a recurrent feature of the U.S. business cycles.
[J.K.Sengupta]

MSC 2000:: *62P20 Appl. of statistics to economics
91B84 Economic time series analysis

Keywords: discrete-state Markov process model; nonstationary time series; business cycle; mean growth rate; modeling changes in regime

Cited in: Zbl 1189.91225 Zbl 1188.91222 Zbl 1148.91330 Zbl 1254.91644 Zbl 1096.62090 Zbl 1040.62109 Zbl 0795.62104 Zbl 0723.62050

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