Kim, Chang-Jin, and Murray, Christian J. 2002. Permanent and transitory components of recessions. Empirical Economics, forthcoming. Home/Search Document Details and Download
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Comment on "A Comparison of Two Business Cycle Dating Methods" - Hamilton (Correct)
....series at the same time. Thinking of a recession as an unobserved process that affects a vector of Markov switching economic time series has produced a number of useful insights about business cycles; see for example Chauvet (1994) Kim and Nelson (1999) Chauvet, Juhn, and Potter (2002) and Kim and Murray (2002), and the references therein. By contrast, the Harding and Pagan approach does not generalize at all naturally to consideration of vectors. I also agree, and here without qualifications, with Harding and Pagans interest in transparency. I think it is a mistake to let any model become a complicated ....
Kim, Chang-Jin, and Murray, Christian J. 2002. Permanent and transitory components of recessions. Empirical Economics, forthcoming.
Common Stochastic Trends, Common Cycles, and Asymmetry in.. - Kim, al. (2000) Self-citation (Kim) (Correct)
....stochastic trend suggested by neoclassical growth theory and a common transitory component. Building on work by Cochrane (1994) and Fama (1992) we define consumption as the common stochastic trend. As we discuss below, this assumption can help to eliminate bias that may arise 1 An exception is Kim and Murray (1999), who estimate an experimental coincident index of economic activity which incorporates both types of asymmetry discussed above. However, their investigation employs economic indicators that are not cointegrated. Also, they do not investigate the implications of their model for the dynamics of ....
....lags. The model presented above is closely related to a recent literature discussing building models which simultaneously capture comovement and asymmetry in business cycle indicator variables. Diebold and Rudebusch (1996) discuss this idea in detail, while Kim and Yoo (1995) Chauvet (1998) and Kim and Murray (1999) all estimate such models. However, this literature is exclusively concerned with the development of a new coincident index of economic activity and not with the dynamics of real GNP. In addition, these papers consider economic variables that are not cointegrated. Finally, with the exception of ....
[Article contains additional citation context not shown here]
Kim, C.-J. and C.J. Murray, 1999, Permanent and transitory components of recessions, Discussion Paper, Department of Economics, University of Washington.
Common Stochastic Trends, Common Cycles, and Asymmetry in.. - Kim, Piger (2000) Self-citation (Kim) (Correct)
....Building on work by Cochrane (1994) and Fama (1992) we define consumption as the common stochastic trend. As we discuss below, this assumption can help to eliminate bias that may arise when using Hamilton s model to capture shifts in trend growth rate. We model the Hamilton and 1 An exception is Kim and Murray (1999), who estimate an experimental coincident index of economic activity which incorporates both types of asymmetry discussed above. However, their investigation employs economic indicators that are not cointegrated. Also, they do not investigate the implications of their model for the dynamics of ....
....lags. The model presented above is closely related to a recent literature discussing building models which simultaneously capture comovement and asymmetry in business cycle indicator variables. Diebold and Rudebusch (1996) discuss this idea in detail, while Kim and Yoo (1995) Chauvet (1998) and Kim and Murray (1999) all estimate such models. However, this literature is exclusively concerned with the development of a new coincident index of economic activity and not with the dynamics of real GNP. In addition, these papers consider economic variables that are not cointegrated. Finally, with the exception of ....
[Article contains additional citation context not shown here]
Kim, C.-J. and C.J. Murray (1999), `Permanent and transitory components of recessions', Discussion Paper, Department of Economics, University of Washington.
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