Comparing smooth transition and Markov switching autoregressive models of US unemployment

Deschamps, Philippe

doi:10.1002/jae.1014

Cited by 60 publications

(35 citation statements)

References 33 publications

(33 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In lieu of obvious predetermined variables driving regime changes, we opt for the data driven regimes implied by the regime switching model. It is worth noting that in a comparison of smooth transition and regime switching autoregressive models on US unemployment data, Deschamps (2008) finds that both models provide similar descriptions of the data. Our model specification allows the intercept and trend of relative prices to shift between two different regimes.…”

Section: Methodsmentioning

confidence: 94%

Regime Shifts in the Fish Meal/Soybean Meal Price Ratio

Asche¹,

Øglend²,

Tveterås³

2012

J Agricultural Economics

View full text Add to dashboard Cite

Aquaculture growth has led to worries about overfishing and reduction in wild‐caught food fish supply because of increased demand for fish meal. As such, the price ratio between fish meal and soybean meal has received much attention as an indicator of changing market conditions. In recent years, the price ratio between these two commodities has become more volatile. Several authors have suggested that the traditional relationship between fish meal and soybean meal has broken down and that this is evidence of increased demand pressure on fish meal. In this article, we investigate the hypothesis that there are two regimes for the relative price between fish meal and soybean meal. The empirical results support this hypothesis, with the low‐price regime representing the traditional stable relative price. The continued linkages between the fish meal and the soybean meal markets indicate that aquaculture is reducing its dependency on marine proteins in favour of vegetable proteins.

show abstract

Section: Methodsmentioning

confidence: 94%

Regime Shifts in the Fish Meal/Soybean Meal Price Ratio

Asche¹,

Øglend²,

Tveterås³

2012

J Agricultural Economics

View full text Add to dashboard Cite

show abstract

“…unconstrained) permutation sampler, using an importance sampling density constructed from the MCMC transition kernel. This method appears to be effective in the Gibbsian case; see Frühwirth-Schnatter (2004) and Deschamps (2008). However, its performance with the tailored Metropolis-Hastings proposal densities used in this paper appears to be uncharted territory.…”

Section: Resultsmentioning

confidence: 89%

“…The magnitude of the difference between Schwarz information criteria is difficult to interpret, but this criterion has the advantage of being insensitive to the prior in large samples; we will therefore report its value along with Bayes factors. The marginal likelihood in (22) was estimated by the bridge sampling method of Meng and Wong (1996), as implemented in Deschamps (2008). This implementation uses posterior replications as well as an importance sampling density q(θ), chosen here as a multivariate Normal on: In all cases but one (the S&P500 data), the AR(0) model is clearly preferred, and the Bayes factor evidence in favor of a skewed error distribution ranges from strong (for the S&P500 data) to decisive (for all the other samples).…”

Section: Model Comparisonmentioning

confidence: 99%

Bayesian estimation of generalized hyperbolic skewed student GARCH models

Deschamps

2012

Computational Statistics & Data Analysis

Self Cite

View full text Add to dashboard Cite

Abstract. Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are identically and independently distributed. The second model, ODLV-GARCH, is formulated in terms of observation-driven latent variables; it automatically incorporates a risk premium effect. Both models nest the ordinary threshold t-GARCH as a limiting case. The GHt-GARCH and ODLV-GARCH models are compared with each other and with the threshold t-GARCH using five publicly available asset return data sets, by means of Bayes factors, information criteria, and classical forecast evaluation tools. The GHt-GARCH and ODLV-GARCH models both strongly dominate the threshold t-GARCH, and the Bayes factors generally favor GHt-GARCH over ODLV-GARCH. A Markov switching extension of GHt-GARCH is also presented. This extension is found to be an empirical improvement over the single-regime model for one of the five data sets. Séminaire d'économétrie,

show abstract

“…In (1) I take an approach similar to Boldin (1993) and Deschamps (2008) where each parameter may take on different values depending on the state of the labor market. This is in contrast to Hamilton (2005) study of the unemployment rate where only the constant, α, is state dependent.…”

Section: Methodsmentioning

confidence: 99%

Labor market dynamics over the business cycle: evidence from Markov switching models

Schwartz

2011

Empir Econ

View full text Add to dashboard Cite

This paper explores the evolution of the U.S. labor market across the business cycle and specifically the relationship between the unemployment rate and the average duration of unemployment. Labor market recoveries have long been thought of as lagging recoveries in broad economic activity. In particular, the unemployment rate peaks several months after official business cycle troughs and the average duration of unemployment lags further behind. Using estimates from Markov switching models of the unemployment rate, average duration of unemployment, jobless claims, and the exhaustion rate of regular unemployment insurance, this paper dates contractionary and expansionary phases of various aspects of the labor market and their relationship to the official phases of the business cycle. Evidence from these models suggests that inflows into unemployment recover almost contemporaneously with broad economic activity, while outflows recover almost a year after the end of official recessions. The differential timing in the recoveries of unemployment inflows and outflows, which is not a characteristic of most macro models of the labor market, accounts for the observed pattern between the unemployment rate and average duration of unemployment. Finally, when comparing the phases of the labor market to periods where Congress extends unemployment insurance benefits, it appears that policymakers target periods where the job finding rate is low, rather than periods where the stock of unemployed workers is high.

show abstract

Comparing smooth transition and Markov switching autoregressive models of US unemployment

Cited by 60 publications

References 33 publications

Regime Shifts in the Fish Meal/Soybean Meal Price Ratio

Regime Shifts in the Fish Meal/Soybean Meal Price Ratio

Bayesian estimation of generalized hyperbolic skewed student GARCH models

Labor market dynamics over the business cycle: evidence from Markov switching models

Contact Info

Product

Resources

About