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Detection of regime switches between stationary and nonstationary processes and economic forecasting
- Source :
- Journal of Forecasting. July, 2005, Vol. 24 Issue 4, p255, 11 p.
- Publication Year :
- 2005
-
Abstract
- A nation's economy switches from one regime to another; this feature is known as the asymmetry of business cycles. The Markov switching model is applied to forecast economic time series. These regime switches may arise between stationary and nonstationary processes. Stochastic unit root models are potentially useful in multi-step-ahead forecasting.
Details
- Language :
- English
- ISSN :
- 02776693
- Volume :
- 24
- Issue :
- 4
- Database :
- Gale General OneFile
- Journal :
- Journal of Forecasting
- Publication Type :
- Academic Journal
- Accession number :
- edsgcl.136630108