Identifying US turning points revisited: the panel model with the regime switching approach

摘要

This article proposes a panel model with a regime switching mechanism to analyse the feature of US business cycles. This Markov Switching Panel model is simple and can easily be estimated using Hamilton's (1989) method. We test the ability of the Markov Switching Panel model to identify US turning points using the US coincident indicator data. The empirical evidence shows that this model is highly capable of identifying US recessionary dates. It also has a better forecast performance than the Markov Switching vector autoregressive model.