Chang-Jin Kim

Jeremy Piger

English

Research Papers in Economics

(1999c), ‘Has the U.S. economy become more stable? A Bayesian Based Approach Based on a Markov Switching Model of the Business Cycle’, Review of Economics and Statistics, Forthcoming.

A Bayesian approach to testing for Markov-switching in univariate and dynamic factor models’,

A new approach to the economic analysis of nonstationary time series and the business cycle’,

An econometric characterization of business cycle dynamics with factor structure and regime switching’,

Are deep recessions followed by strong recoveries? Results for the G-7 countries’,

Are deep recessions followed by strong recoveries?’,

Are economic time series asymmetric over the business cycle?’,

Asymmetric business cycles: Theory and time-series evidence’,

Asymptotic null distribution of the likelihood ratio test in Markov switching models’,

Bayes factors and nonlinearity: evidence from economic time series’,

Business cycle asymmetry: A deeper look’,

Business Cycles: The Problem and its Setting,

Cointegration and error correction: Representation, estimation, and testing’,

Distribution of the estimators for autoregressive time series with a unit root’,

Do recessions permanently change output?’,

Dynamic linear models with Markov-switching’,

Equilibrium selection in imperfectly competitive economies with multiple equilibria’,

Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models’,

Friedman’s plucking model of business fluctuations: tests and estimates of permanent and transitory components’,

Growth states and shocks’,

How does macroeconomic policy affect output?’,

Inventories and the three phases of the business cycle’,

Is the persistence of shocks to output asymmetric?’,

Likelihood-based Inference in Cointegrated Vector Autoregressive Models,

Marginal likelihood from the Gibbs output’,

Measuring Business Cycles,

Measuring business cycles: A modern perspective’,

New index of coincident indicators: A multivariate Markov switching factor model approach’,

Permanent and transitory components of GNP and stock prices’,

Permanent and transitory components of recessions’,

Production, growth and business cycles: II. new directions’,

Sources of monetary growth uncertainty and economic activity: The time varying parameter model with heteroskedastic disturbances’,

Stochastic steady states’,

Stochastic trends and economic fluctuations’,

Testing for and dating common breaks in multivariate time series’,

The “plucking model” of business fluctuations revisited’,

The great crash, the oil shock and the unit root hypothesis’,

The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP’,

The Optimum Quantity of Money and Other Essays,

Time to build and aggregate fluctuations’,

Transitory variation in investment and output’,

Trend, unit root and structural change in macroeconomic time series’, in B.B. Rao (ed), Cointegration for the Applied Economist,

Unit root tests in the presence of Markov regime Switching’, Discussion Paper,

Unobserved-component time series models with Markov-switching heteroskedasticity: changes in regime and the link between inflation rates and inflation uncertainty’,

Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations

http://www.econ.washington.edu/user/changjin/kim_piger1.pdf

Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations

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Research Papers in Economics