References
- Bodman , P. M. and Crosby , M. 2001 . Non-linearities in the Singaporean business cycle . The Singapore Economic Review , 44 : 24 – 35 .
- Casella , G. and George , E. 1992 . Explaining the Gibbs sampler . American Statistician , 46 : 167 – 174 .
- Chauvet , M. 1998 . An econometric characterization of business cycle dynamics with factor structure and regime switching . International Economic Review , 39 : 969 – 996 .
- Chib , S. and Greenberg , E. 1996 . Markov chain Monte Carlo simulation methods in econometrics . Econometric Theory , 12 : 409 – 431 .
- Diebold , F. X. 1993 . “ Further evidence on business cycle duration ” . In Business Cycles, Indicators and Forecasting , Edited by: Stock , J. and Watson , M. The University of Chicago Press .
- Diebold , F. X. 1994 . “ Regime switching with time-varying transition probabilities ” . In Nonstationary Time Series Analysis and Cointegration , Edited by: Hargreaves , C. 283 – 302 . Oxford : Oxford University Press .
- Durland , J. M. and McCurdy , T. H. 1994 . Duration-dependent transitions in a Markov model of U.S. GNP growth . Journal of Business and Economic Statistics , 12 : 279 – 288 .
- Filardo , A. J. 1994 . Business-cycle phases and their transitional dynamics . Journal of Business and Economic Statistics , 12 : 299 – 308 .
- Filardo , A. J. and Gordon , S. F. 1998 . Business cycle durations . Journal of Econometrics , 85 : 99 – 123 .
- Geman , S. and Geman , D. 1984 . Stochastic relaxation, Gibbs distributions and the Bayesian restoration of images . IEEE Transactions on Pattern Analysis and Machine Intelligence , 12 : 609 – 628 .
- Ghysels , E. 1994 . On the periodic structure of the business cycle . Journal of Business and Economic Statistics , 12 : 239 – 298 .
- Hamilton , J. D. 1989 . A new approach to the economic analysis of nonstationary time series and the business cycle . Econometrica , 57 : 357 – 384 .
- Hamilton , J. D. 1994 . Time Series Analysis , Princeton University Press .
- Hamilton , J. D. and Lin , G. 1996 . Stock market volatility and the business cycle . Journal of Applied Econometrics , 11 : 573 – 593 .
- Hsu , S.-H. and Kuan , C.-M. 2001 . Identifying Taiwan's business cycles in 90's: an application of the bivariate Markov switching model and Gibbs sampling . Journal of Social Science and Philosophy , 13 : 515 – 540 .
- Huang , C.-H. 1999 . Phases and characteristics of Taiwan business cycles: a Markov switching analysis . Taiwan Economic Review , 27 : 185 – 213 .
- Huang , Y.-L. 1998 . Identifying the turning points and business cycles and forecasting real GNP growth rate in Taiwan . Taiwan Economic Review , 26 : 431 – 457 .
- Jeffreys , H. 1961 . Theory of Probability, , 3rd edn , Oxford : Clarendon Press .
- Kim , M.-J. 1996 . Duration dependence in Korean business cycles: evidence and its implication based on Gibbs sampling approach to regime-switching model . Seoul Journal of Economics , 9 : 123 – 144 .
- Kim , C.-J. and Nelson , C. R. 1998 . Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching . The Review of Economics and Statistics , 80 : 188 – 201 .
- Kim , C.-J. and Nelson , C. R. 1999 . State Space Models with Regime Switching: Classical and Gibbs-sampling Approaches with Applications , Cambridge, MA : The MIT Press .
- Kim , M.-J. and Yoo , J.-S. 1995 . New index of coincident indicators: a multivariate Markov-Switching factor model approach . Journal of Monetary Economics , 36 : 607 – 630 .
- Layton , A. P. 1998 . A further test of the influence of leading indicators on the probability of US business cycle phase shifts . International Journal of Forecasting , 14 : 63 – 70 .
- Layton , A. P. and Smith , D. 2000 . A further note on the three phases of the U.S. business cycle . Applied Economics , 32 : 1133 – 1141 .
- Pelagatti , M. 2001 . Gibbs sampling for a duration dependent Markov switching model with an application to the U.S. business cycle . Quaderno di Dipartimento QD2001/2, Dipartimento di Statistica, Universita degli Studi di Milano Bicocca
- Sanford , A. D. and Martin , G. 2004 . Bayesian analysis of continuous time models of the Australian short rate, unpublished manuscript