TY - DATA T1 - A Structural Time Series Model With Markov Switching PY - 2017/06/08 AU - Shami, Roland G. AU - Forbes, Catherine S. UR - https://bridges.monash.edu/articles/journal_contribution/A_Structural_Time_Series_Model_With_Markov_Switching/5090713 DO - 10.4225/03/5938c3f2402b0 L4 - https://ndownloader.figshare.com/files/8628727 KW - monash:2285 KW - Business cycle KW - 2000 KW - 1959.1/2285 KW - Structural model KW - Gibbs sampling KW - Markov switching regime N2 - We propose an innovations form of the structural model underlying exponential smoothing that is further augmented by a latent Markov switching process. A particular case of the new model is the local level model with a switching drift, where the switching component describes the change between high and low growth rate periods. This new model is used to analyse the US business cycle using US Quarterly real GNP data. Model parameters are estimated using a Gibbs sampling algorithm and subsequently used for forecasting purposes. In addition, the stability of the new model is tested against Hamilton's model over a range of observation periods. ER -