TY  -  
T1  - Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model 
SN  -  /  
UR  - http://hdl.handle.net/10138/312741 
T3  -  
A1  - Nyberg, Henri 
A2  -  
PB  -  
Y1  - 2018 
LA  - eng 
AB  - This paper introduces a regime switching vector autoregressive model with time-varying regime probabilities, where the regime switching dynamics is described by an observable binary response variable predicted simultaneously with the variables subject to regime changes. Dependence on the observed binary variable distinguishes the model from various previously proposed multivariate regime switching models, facilitating a handy simulation-based multistep forecasting method. An empirical applicatio... 
VO  -  
IS  -  
SP  -  
OP  -  
KW  - financial markets; nonlinear vector autoregression; probit model; simulation; turning points; 511 Economics 
N1  -   
PP  -  
ER  -