Comparing smooth transition and Markov switching autoregressive models of US unemployment
نویسندگان
چکیده
منابع مشابه
Comparing Smooth Transition and Markov Switching Autoregressive Models of Us Unemployment
Logistic smooth transition and Markov switching autoregressive models of a logistic transform of the monthly US unemployment rate are estimated by Markov chain Monte Carlo methods. The Markov switching model is identified by constraining the first autoregression coefficient to differ across regimes. The transition variable in the LSTAR model is the lagged seasonal difference of the unemployment...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2008
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.1014