17 datasets found

This paper presents an empirical model for inferring the private information content of trades at the transaction level. The trade-indicator model of Glosten and Harris (1988)...

This paper considers Markov error-correction (MEC) models in which deviations from the long-run equilibrium are characterized by different rates of adjustment. To motivate our...

This paper presents a new nonlinear time series model that captures a post-recession bounce-back in the level of aggregate output. While a number of studies have examined this...

The objective of this paper is to evaluate the effectiveness of using a Markov switching model to measure the synchronization of business cycles. We use a Bayesian, Gibbs...

This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue...

The causal link between monetary variables and output is one of the most studied issues in macroeconomics. One puzzle from this literature is that the results of causality tests...

This paper models the behaviour of discounted US debt using a Markov-switching time series model. The significance of modelling fiscal policy within this framework derives from...

This paper analyzes patterns in the earnings development of young labor market entrants over their life cycle. We identify four distinctly different types of transition patterns...

Sign restrictions have become increasingly popular for identifying shocks in structural vector autoregressive (SVAR) models. So far there are no techniques for validating the...

In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly...

This paper proposes an infinite hidden Markov model to integrate the regime switching and structural break dynamics in a unified Bayesian framework. Two parallel hierarchical...

This paper develops a novel approach to information-based securities trading by characterizing the hidden state of the market, which varies following a Markov process. Extensive...

This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous...

An article by Chan et al. (2013) published in the Journal of Business and Economic Statistics introduces a new model for trend inflation. They allow the trend inflation to...

In this paper, we derive restrictions for Granger noncausality in MS-VAR models and show under what conditions a variable does not affect the forecast of the hidden Markov...

This paper investigates whether there is time variation in the excess sensitivity of aggregate consumption growth to anticipated aggregate disposable income growth using...

This paper estimates a Markov-switching dynamic stochastic general equilibrium model by incorporating stock prices in monetary policy rules in order to identify the Federal...