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The structure of the Australian growth process: A Bayesian model selection view of Markov switching

Abstract:

In this paper we examine the structure of the GDP growth process in Australia. Our objective is to determine whether the growth process exhibits well-defined business cycle features and whether any significant regime shifts have occurred in the mean and variance of the growth process, as well as its autoregressive structure. The analysis is based on a general Markov Switching Autoregressive Model, implemented from a Bayesian perspective using Markov Chain Monte Carlo numerical methods. Our re...

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Publication status:
Published

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Journal:
ECONOMIC MODELLING
Volume:
22
Issue:
4
Pages:
628-645
Publication date:
2005-07-05
DOI:
ISSN:
0264-9993
URN:
uuid:4374c253-08f3-48b7-88a0-f591c8952381
Source identifiers:
196747
Local pid:
pubs:196747
Language:
English
Keywords:

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