A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle¶
Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
Cited by¶
3 citations across 3 artifacts.
Each citation links to the sentence it supports in the citing article.
Primes¶
- Concept Drift
- In finance, factor-return relationships break across regime changes.
This sourceIntroduces Markov regime-switching, the canonical framework for modelling structural breaks across regimes that break factor-return relationships in finance.
- In finance, factor-return relationships break across regime changes.
- Regime Change
- Inflation regimes exhibit hysteresis: the forward threshold for accelerating to high inflation can differ from the reverse threshold for returning to low inflation, trapping economies in high-inflation regimes even as policy tightens, a pattern Hamilton (1989) formalized in his econometric model of Markov regime-switching in macroeconomic time series.
This sourceFoundational econometric model of Markov regime-switching: formalizes inflation, growth, and business-cycle regimes as discrete latent states with hysteresis-like persistence and asymmetric transition probabilities.
- Inflation regimes exhibit hysteresis: the forward threshold for accelerating to high inflation can differ from the reverse threshold for returning to low inflation, trapping economies in high-inflation regimes even as policy tightens, a pattern Hamilton (1989) formalized in his econometric model of Markov regime-switching in macroeconomic time series.
Mechanisms¶
- Market Regime Strategy
- The design draws on the logic of regime-switching models,
This sourceModels a market or economy as switching between distinct statistical regimes with different behavior.
- The design draws on the logic of regime-switching models,
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