Modelling Business Cycle Movements in the UK Economy
Bibliographic Data
| ID | 9725817 |
|---|---|
| Authors | Paul W Simpson, Denise R Osborn (0000-0001-5534-8926, University of Manchester), Marianne Sensier (0000-0001-8966-2403, University of Manchester) |
| Year | 2001 |
| Volume | 68 |
| Issue | 270 |
| Pages | 243-267 |
| Publication date | 2001-05-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economica (JOURNAL) |
| Journal identifiers | ISSN: 0013-0427 • E-ISSN: 1468-0335 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/1468-0335.00244 |
| OpenAlex | W2120640128 |
| Language | EN |
| Citations received | 2 |
| References cited | 7 |
This paper models the phases of the UK business cycle using GDP data with a time‐varying transition probabilities (TVTP) Markov‐switching regime model and exogenous leading indicator variables. Single indicators in linear models are compared with the TVTP framework, with logistic and exponential functions used in the latter. The Markov‐switching models capture the major recessions of the sample, but the use of leading indicators through the TVTP framework can improve this regime recognition. Finally, a forecast comparison shows that the TVTP models perform relatively well in predicting during the 1990s, particularly when nominal interest rates are used to generate the regime‐switching probabilities
Business cycle · Econometrics · Economic indicator · Economics · Exponential function · Hidden Markov model · Machine learning · Macroeconomics · Markov chain · Recession · Sample (material) · Artificial Intelligence · Computer Science · Economic Theory and Policy · German Economic Analysis & Policies · Mathematics · Monetary Policy and Economic Impact
Information Theory and an Extension of the Maximum Likelihood Principle
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Testing for Autocorrelation in Dynamic Linear Models
Testing the equality of prediction mean squared errors
Business-Cycle Phases and Their Transitional Dynamics
Does Growth Vary over the Business Cycle? Some Evidence from the G7 Countries
Asymmetries in the Cyclical Behaviour of UK Labour Markets
| Unique citing works | 2 |
|---|---|
| Citations per year | 0,09 |
| Citation span | 2003 - 2005 (3) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 2 |