An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching
An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching
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DOI：
10.2307/2527348
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发表时间：
1998-11
影响因子：
1.5
通讯作者：
Marcelle Chauvet
中科院分区：
文献类型：
--
作者：
Marcelle Chauvet
本文提出了一个包含状态转换的动态因子模型，作为经济周期的一个经验刻画。该方法整合了宏观经济变量之间的共动性和商业周期扩张和收缩的不对称性的思想。第一个是捕捉到一个不可观测的动态因素，第二个允许该因素切换政权。该模型估计通过最大化其似然函数和实证结果表明，这两个功能的组合导致一个成功的代表性的数据相对于现存的文献。这适用于样本内和样本外，以及修订和实时数据。1998年由宾夕法尼亚大学经济系和大坂大学社会经济研究协会版权所有。
A dynamic factor model with regime switching is proposed as an empirical characterization of business cycles. The approach integrates the idea of comovements among macroeconomic variables and asymmetries of business cycle expansions and contractions. The first is captured with an unobservable dynamic factor and the second by allowing the factor to switch regimes. The model is estimated by maximizing its likelihood function and the empirical results indicate that the combination of these two features leads to a successful representation of the data relative to extant literature. This holds for within and out-of-sample, and for both revised and real-time data. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.