Testing for regional cycles: a Markov-switching approach

Testing for regional cycles: a Markov-switching approach

This paper presents a method for testing whether business cycle expansions and contractions at different levels of aggregation, such as regional and national cycles, occur at the same time. The procedure is to fit markov-switching models to the time-series and then apply a bootstrap test of equality...

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Veröffentlicht in:Journal of economic and social measurement 1999-08, Vol.25 (3-4), p.163-182
Hauptverfasser: Guha, Debashis, Banerji, Anirvan
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Sprache:eng
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Business cycles
Employment
European Monetary Union
Markov analysis
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container_title Journal of economic and social measurement
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creator Guha, Debashis
Banerji, Anirvan
description This paper presents a method for testing whether business cycle expansions and contractions at different levels of aggregation, such as regional and national cycles, occur at the same time. The procedure is to fit markov-switching models to the time-series and then apply a bootstrap test of equality to the residuals. Applied to US employment data, the test shows significant differences between fluctuations in US national employment and those in some US states. Application to European data reveals significant differences between employment fluctuations at the aggregate EMU level and those in Germany and France.
doi_str_mv 10.3233/JEM-1999-0168
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ispartof Journal of economic and social measurement, 1999-08, Vol.25 (3-4), p.163-182
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1875-8932
2523-5338
language eng
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source Sociological Abstracts; EBSCOhost Business Source Complete
subjects Business cycles
Employment
European Monetary Union
Markov analysis
title Testing for regional cycles: a Markov-switching approach
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