Business cycle asymmetry: state-space models with Markov switching.
This thesis extends Kim and Nelson's (1999) plucking model for real GDP to include correlated innovations. The resulting correlated innovations unobserved components (UC) model allows for both asymmetric transitory movements and correlation between the permanent and transitory innovations. Appl...
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| Language: | English en |
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2012
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| Online Access: | http://hdl.handle.net/1828/4042 |