Smooth Threshold Autoregressive models and Markov process: An application to the Lebanese GDP growth rate

Jean-françois VERNE

doi:https://doi.org/10.33818/ier.791543

Makale detayları

Smooth Threshold Autoregressive models and Markov process: An application to the Lebanese GDP growth rate

Yazarlar:

Jean-françois VERNE

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

International Econometric Review 2021 Vol.13 Issue 3, pp.71-88

Belge Tipi:

Makale

Yayın Tarihi:

12/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000717615

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793

DOI:

https://doi.org/10.33818/ier.791543

Özet:

 

This paper analyzes the evolution of the Lebanese GDP growth rate over the period 1970-2018 by estimating two kinds of switching models: The Smooth Transition Autoregressive (STAR) model and the model of the Markov process. These models show, on the one hand, asymmetries in the evolution of GDP growth with an abrupt transition from a regime to another and, on the other hand, a high probability that the economy remains in the recession regime. Even though the duration of the expansion phase is longer than the duration of the recession phase, the Lebanese economy experiencing the greatest difficulties in moving from a recession regime to an expansion regime. In addition, such an evolution is explosive and volatile during the lower regime (recession phase) but stationary and damped in the upper regime (expansion phase).  Finally, the paper shows that the STAR model, taking a logistic form, better fits the Lebanese GDP growth than the Markov model.

Makale detayları

Smooth Threshold Autoregressive models and Markov process: An application to the Lebanese GDP growth rate

Yazarlar: Jean-françois VERNE

Yayıncı: Econometric Research Association

Ana Başlıklar: Ekonomi ve Maliye

Dergi: International Econometric Review 2021 Vol.13 Issue 3, pp.71-88

Belge Tipi: Makale

Yayın Tarihi: 12/2021

Belge Dili: İngilizce

Document ID (Org No.): 2000717615

Sıklık: Üç Aylık

eISSN: 1308-8815

pISSN: 1308-8793

DOI: https://doi.org/10.33818/ier.791543

Sayı

Yazarlar:

Jean-françois VERNE

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

International Econometric Review 2021 Vol.13 Issue 3, pp.71-88

Belge Tipi:

Makale

Yayın Tarihi:

12/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000717615

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793

DOI:

https://doi.org/10.33818/ier.791543