Akaike, H. (1976), ''Canonical correlation analysis of time series
and the use of an information criterion,'''' in Raman K. Mehra and
Dimitri G. Lainiotis, eds., System identification:
Advances and case studies, 27--96, New York: Academic Press.
Albert, J. and S. Chib. (1993),
''Bayesian inference via Gibbs sampling of autoregressive time series subject
to Markov mean and variance shifts,''''
Journal of Business and Economic Statistics, 11, 1--15.
Banerjee, A., R. L. Lumsdaine and J. H. Stock (1998),
''Recursive and sequential tests of the unit-root and trend-break
hypothesis theory and international evidence,"
Journal of Business and Economic Statistics, 10, 271--287.
Bera, A. K. and M. L. Higgins (1993),
''ARCH models: properties, estimation and testing,''''
Journal of Economic Surveys, 7, 305--366.
Bianchi, M. and G. Zoega (1998), ''Unemployment persistence:
Does the size of the shock matter?''''
Journal of Applied Econometrics, 13, 283--304.
Boldin, M. D. (1994),
''Dating turning points in the business cycle,''''
Journal of Business, 67, 97--131.
Bollerslev, T. (1986), ''Generalized autoregressive conditional heteroscedasticity,''''
Journal of Econometrics, 31, 307--327.
Bollerslev, T. and R. Y. Chou and K. F. Kroner (1992),
''ARCH modelling in finance: A review of the theory and empirical evidence,''''
Journal of Econometrics, 52, 5--59.
Bollerslev,T, R. Engle, and D. Nelson (1994), ''ARCH Models,''''
in R. F. Engle and D. McFadden eds. \textit{Handbook of Econometrics:
Volume 4. Amsterdam; London and New York: Elsevier, North-Holland,
2959--3038.
Burns, A. F. and W. C. Mitchell (1946),
Measuring Business Cycles,
New York: National Bureau of Economic Research.
Cai, J. (1994), ''A Markov model of switching-regime ARCH,''''
Journal of Business and Economic Statistics, 12, 309--316.
Chauvet, M. (1998),
''An econometric characterization of business cycle dynamics with
factor structure and regime switching,''''
International Economic Review, 39, 969--996.
Chen, S.-W. and J.-L. Lin (1999a),
''Switching ARCH models of stock market volatility in Taiwan,''''
forthcoming in Advances in Pacific Basin Business, Economics and Finance, 4.
Chen, S.-W. and J.-L. Lin (1999b),
''Modelling business cycle in Taiwan with time-varying Markov switching models,''''
forthcoming in Academia Economic Papers.
Chow, Y. F. (1998), ''Regime switching and cointegration
tests of the efficiency of futures markets,''''
The Journal of Futures Markets, 18, 871--901.
Diebold, F. X. (1986), ''Modelling the persistence of conditional
variance: A comment,'''' Econometric Review, 5, 51--56.
Diebold, F. X., J.-H. Lee, and G. C. Weinbach (1994),
''Regime switching with time-varying transition probabilities,''''
in C. Hargreaves ed., Nonstationary Time Series Analysis and
Cointegration, (Oxford: Oxford University Press), 283--302.
Diebold, F. X. and G. D. Rudebusch (1989),
''Scoring the leading indicator,'''' Journal of Business, 62, 369--391.
Diebold, F. X. and G. D. Rudebusch (1996),
''Measuring business cycles: A modern perspective,''''
The Review of Economics and Statistics, 78, 67--77.
Dueker, M. J. (1997), ''Markov switching in GARCH processes
and mean-reverting stock-market volatility,''''
Journal of Business and Economic Statistics, 15, 26--34.
Durland, J. M. and T. H. McCurdy (1994),
''Duration-dependent transitions in a Markov model of U.S. GNP growth,''''
Journal of Business and Economic Statistics, 12, 279--288.
Engle, C. (1994), ''Can the Markov switching model
forecast exchange rates?''''
Journal of International Economics, 36, 151--165.
Engle, C. and J. D. Hamilton (1990), ''Long swings in the
Dollar: Are they in the data and do markets know it?''''
American Economic Review, 80, 689--713.
Engle, R. F. (1982), ''Autoregressive conditional heteroscedasticity
with estimates of the variance of United Kingdom inflation,''''
Econometrica, 50, 987--1007.
Filardo, A. J. (1994), ''Business-cycle phases and their
transitional dynamics,''''
Journal of Business and Economic Statistics, 12, 299--308.
Filardo, A. J. and S. F. Gordon (1998), ''Business cycle durations,''''
Journal of Econometrics, 85, 99--123.
Franses, P. H. and R. Paap (1999),
''Does seasonality influence the dating of business cycle turning points?''''
Journal of Macroeconomics, 21, 79--92.
Friedman, M. (1969),
The Optimum Quantity of Money and Other Essays, ch. 12, 261--284. Chicago: Aldine.
Friedman, M. (1993),
''The plucking model of business fluctuations revised,''''
Economic Inquiry, 31, 171--177.
Garcia, R. (1998),
''Asymptotic null distribution of the likelihood ratio test in Markov switchingmodel,'''' International Economic Review, 39, 763--788.
Garcia, R. and P. Perron (1996),
''An analysis of the real interest rate under regime shifts,''''
The Review of Economics and Statistics, 78, 111--125.
Geweke, J. and K. J. Singleton (1981),
''Maximum likelihood confirmatory factor analysis of economic time series,''''
International Economic Review, 22, 37--54.
Ghysels, E. (1994), ''On the periodic structure of the
business cycle Markov-switching model,''''
Journal of Business and Economic Statistics, 12, 289--298.
Glosten, L. R., R. Janannathan and D. Runkle (1993),
''On th relation between the expected value and the volatility of the
nominal excess return on stocks,'''' Journal of Finance, 48, 1779--1801.
Gomez-Puig, M. and J. G. Montalvo (1997),
''A new indicator for assess the credibility of the EMS,''''
European Economic Review, 41, 1511--1535.
Goodwin, T. H. (1993), ''Business-Cycle analysis with a
Markov-switching model,'''' Journal of Business and Economic Statistics, 11, 331--339.
Gray, S. F. (1996), ''Modelling the conditional distribution of
interest rates as a regime-switching process,''''
Journal of Financial Economics, 42, 27--62.
Hamilton, J. D. (1988), ''Rational-expectations econometric analysis
of changes in regimes: an investigation of the term structure
of interest rates,'''' Journal of Economic Dynamics and Control, 12, 385--423.
Hamilton, J. D. (1989), ''A new approach to the economic
analysis of nonstationary time series and the business cycle,''''
Econometrica, 57, 357--384.
Hamilton, J. D. (1990), ''Analysis of time series subject to
changes in regime,'''' Journal of Econometrics, 45, 39--70.
Hamilton, J. D. (1994), Time Series Analysis,
New Jersey: Princeton University Press.
Hamilton, J. D. (1996), ''Specification testing in
Markov-switching time-series models,''''
Journal of Econometrics, 70, 127--157.
Hamilton, J. D. and G. Lin (1996), ''Stock market
volatility and the business cycle,''''
Journal of Applied Econometrics, 11, 573--593.
Hamilton, J. D. and G. Perez-Quiros (1996), ''What do
leading indicators lead?'''' Journal of Business, 69, 27--49.
Hansen, B. E. (1992), ''The likelihood ratio test under nonstandardconditions: Testing the Markov switching model of GNP,''''
Journal of Applied Econometrics, 7, S61--S82.
Hansen, B. E. (1996), ''Erratum: The likelihood ratio test under nonstandardconditions: Testing the Markov switching model of GNP,''''
Journal of Applied Econometrics, 11, 195--198.
Huang, C.-H. (1999), ''Phases and characteristics of Taiwan business
cycles: A Markov switching analysis,''''
Taiwan Economic Review, 27, 185--213.
Huang, Y.-L., C.-M. Kuan and K. S. Lin (1998),
''Identifying the turning points and business cycles and forecasting real GNP
growth rate in Taiwan,'''' Taiwan Economic Review, 26, 431--457.
Hylleberg, S., R. F. Engle, C. W. J. Granger and B. S. Yoo (1990),
''Seasonal integration and cointegration,'''' Journal of Econometrics, 44, 215--238.
Kim, C.-J. (1994), ''Dynamic linear models with Markov-switching,''''
Journal of Econometrics, 60, 1--22.
Kim, C.-J. and C. R. Nelson (1998),
''Business cycle turning points, a new coincident index,
and tests of duration dependence based on a dynamic factor
model with regime switching,'''' The Review of Economics and Statistics,80, 188--201.
Kim, C.-J. and C. R. Nelson (1999),
''Friedman''s plucking model of business fluctuations:
Tests and estimates of permanent and transitory components,''''
Journal of Money, Credit, and Banking, 31, 317--334.
Kim, C.-J. and C. R. Nelson (1999),
State Space Models with Regime Switching: Classical and Gibbs-sampling
Approaches with Applications, Cambridge: The MIT Press.
Kim, M.-J. and J.-S. Yoo (1995), ''New index of coincident
indicators: A multivariate Markov switching factor model approach,''''
Journal of Monetary Economics, 36, 607--630.
Lahiri, K. and J. G. Wang (1994),
''Predicting cyclical turning points with leading index in a Markov switching
model,'''' Journal of Forecasting, 13, 245--263.
Lam, P.-S. (1990), ''The Hamilton model with a general
autoregressive component,'''' Journal of Monetary Economics, 26, 409--432.
Lam, P. S. (1996), ''A Markov-switching model of GNP with
duration dependence,'''' unpublished manuscript, Ohio State University.
Lamoureux, C. G. and W. D. Lastrapes (1990), ''Persistence in variance,
structural change and the GARCH model,''''
Journal of Business and Economic Statistics, 8, 225--234.
Layton, A. P. (1996),
''Dating and predicting phase changes in the U.S. business cycle,''''
International Journal of Forecasting, 12, 417--458.
Layton, A. P. (1998),
''A further test of the influence of leading indicators on the probability ofUS business cycle phase shifts,'''' International Journal of Forecasting, 14, 63--70.
Lin, J.-L. and S.-W. Chen (1999), ''How useful are the leading
and coincident indexes in Taiwan? An application analysis with
bivariate Markov switching models,'''' unpublished manuscript.
Lo, A. W. and C. MacKinlay (1990),''Data-snooping biases in tests of
financial asset pricing models,''''
Review of Financial Studies, 3, 431--468.
Lucas, R. E. (1976),
''Understanding business cycle,'''' in K. Brunner and A. Meltzer (eds.),
Stabilization of the Domestic and International Economy,
Carnegie-Rochester Series on Public Ploicy 5, 7--29.
Lumsdaine, R. L. and D. H. Papell (1997),
''Multiple trend breaks and the unit-root hypothesis,"
The Review of Economics and Statistics, 79, 212--218.
Maddala, G. S. and I.-M. Kim (1998),
Unit Roots, Cointegration and Structural Change,
Cambridge University Press, United Kingdom.
Montgomery, A. L., V. Zarnowitz, R. S. Tsay, and G. Tiao (1998),
''Forecasting the U.S. unemployment rate,''''
Journal of American Statistical Association, 93, 478--493.
Mullineux, A., D. G. Dickinson and W.-S. Peng (1993),
Business Cycles: Theory and Evidence, Blackwell Publishers, Oxford, U.K.
Nelson, C. R. and C. I. Plosser (1982),
''Trends and random walks in macroeconomic time series:
some evidence and implications,'''' Journal of Monetary Economics, 10, 139--162.
Nelson, D. (1991),
''Conditional heteroscedasticity in asset returns: A new approach,''''
Econometrica, 59, 347--370.
Nunes, L. C., P. Newbold and C.-M. Kuan (1997),
''Testing for unit roots with breaks:
evidence on the great crash and the unit root hypothesis reconsidered,''''
Oxford Bulletin of Economics and Statistics, 59, 435--448.
Perron, P. (1989),
''The great crash, the oil price shock, and the unit root hypothesis,''''
Econometrica, 57, 1362--1401.
Perron, P. (1997),
''Further evidence on breaking trend functions in macroeconomic variables,''''
Journal of Econometrics, 80, 355--385.
Psaradakis, Z. and M. Sola (1998),
''Finite-sample properties of the maximum likelihood estimation in
autoregressive model with Markov switching,''''
Journal of Econometrics, 86, 369--386.
Ramchand, L. and R. Susmel (1998), ''Volatility and cross
correlation across major stock markets,''''
Journal of Empirical Finance, 5, 397--416.
Schaller, H. and S. Norden (1997), ''Regime switching in
stock market returns,'''' Applied Financial Economics, 7, 177--191.
Schwarz, G. (1978), ''Estimating the dimension of a model,''''
Annual of Statistics, 6, 461--464.
Sola, M. and J. Driffill (1994),
''Testing the term structure of interest rates using
a stationary vector autoregression with regime switching,''''
Journal of Economic Dynamics and Control, 18, 601--628.
Stock, J. H. and M. W. Watson (1988)
''Testing for common trends,''''
Journal of the American Statistical Association, 83, 1097--1107.
Stock, J. H. and M. W. Watson (1989)
''New indexes of coincident and leading economic indicators,''''
in O. Blanchard and S. Fischer (eds.),
NBER Macroeconomics Annual, Cambridge, MA: MIT Press.
Stock, J. H. and M. W. Watson (1991)
''A probability model of the coincident economic indicators,''''
in K. Lahiri and G. H. Moore (eds.),
Leading Economics Indicators: New Approach and Forecasting Records,
Cambridge, Cambridge University Press.
Stock, J. H. and M. W. Watson (1993)
''A procedure for predicting regressions with leading indicators:
econometric issues and recent experience,''''
in J. H. Stock and M. W. Watson (eds.),
Business Cycle, Indicators and Forecasting,
Chicago: University of Chicago Press for NBER, 255--284.
Susmel, R. and A. Thompson (1997),
''Volatility, storage and convenience: Evidence from natural gas markets,''''
The Journal of Futures Markets, 17, 17--43.
Turner, C. M., R. Startz, and C. R. Nelson (1989),
''A Markov model of heteroskedasticity, risk, and learning in the stock market,''''
Journal of Financial Economics, 25, 3--22.
Watson, M. W. and D. F. Kraft (1984),
''Testing the interpretation of indices in a macroeconomic index model,''''
Journal of Monetary Economics, 13, 165--181.
Zarnowitz, V. and G. Moore (1986),
''The development and role of the National Bureau of Economic Research''s
business cycle chronologies,''''in R. Gordon (ed.),
The American Business Cycle: Continuity and Change.
Chicago: University of Chicago Press.
Zivot, E. and D. W. K. Andrews (1994),
''Further evidence on the great crash, the oil-price shock,
and the unit-root hypothesis,''''
Journal of Business and Economic Statistics, 10, 251--270.