The Economic Analysis of Systems Subject to Changes in Regime

本研究的目的是探索一种新的非平稳时间序列数据的经济分析方法。目前可用的大多数模型规范都假定对经济事件的最优预测是过去观测的线性函数。相比之下，本项目开发的模型在数据上是非线性的。这种非线性源于这样一种假设，即支配重要经济变量的过程偶尔会受到离散的、戏剧性的制度变化的影响。尽管它是非线性的，但对于许多理论和经验理性预期的应用来说，该模型被证明是完全容易处理的。这项研究之所以重要，是因为新模型为许多有趣的应用带来了希望，其中包括：(A)描述商业周期的另一种方法，这可能使我们能够更好地预测商业波动；(B)用于分析金融数据的更灵活的工具，例如在试图识别和理解股市的剧烈波动方面；(C)在严格的计量经济学框架内分析公共政策急剧变化的影响的更好办法。

The purpose of this research is to explore a new approach to the economic analysis of nonstationary time series data. Most currently available model specifications assume that optimal forecasts of economic events are linear functions of past observations. By contrast, the model developed in this project is nonlinear in the data. The nonlinearity arises from the hypothesis that the process governing important economic variables are occasionally subject to discrete, dramatic changes in regime. Despite its nonlinear nature, the model is shown to be completely tractable for many theoretical and empirical rational-expectations applications. This research is important because the new model holds promise for a number of interesting applications, among them; (a) an alternative approach to characterizing the business cycle, which may enable us to better forecast business fluctuations; (b) a more flexible tool for analyzing financial data, for example in trying to identify and understand the dramatic fluctuations in the stock market; (c) a better approach for analyzing the effects of dramatic shifts in public policy within a rigorous econometric framework.