TY - JOUR ID - 115444 TI - Modeling Business Cycles with Markov Switching Arma (Ms-Arma) Model: An Application on Iranian Business Cycles JO - International Journal of Management, Accounting and Economics JA - IJMAE LA - en SN - AU - Sarbijan, Morteza Salehi AD - Faculty Member in School of Engineering, Department of Mechanics, Zabol University, Zabol, Iran Y1 - 2014 PY - 2014 VL - 1 IS - 3 SP - 201 EP - 214 KW - Markov Switching Models KW - business cycles KW - MS-ARMA KW - Iran Economy DO - N2 - In this paper, the Iran Business Cycle characteristics were investigated via numerous univariate and multivariate Markov-switching specifications. In this case Markov switching model MSM-ARMA is proposed for determining business cycles. We examined the stochastic properties of the cyclical pattern of the quarterly Iran real GDP between 1988 (1) – 2008 (2). The empirical analysis consists of mainly three parts. First, a large number of alternative specifications were tried and few were adopted with respect to various diagnostic statistics. Then, all selected models were tested against their linear benchmarks. LR test results imply strong evidence in favor of the nonlinear regime switching behavior. In line with the main objective of research, proposed model for Iran business cycle is estimated by and result of this estimation showed that economic of Iran despite of having two periods of recession 1992(3) - 1992(4) and 1995(1)-1995(2), is out of recession with moderate growth and also experienced growth with high rate in early period of studying. Also the possibility of resistance of recession regimes with moderate and high growth is 0.3, 0.92 and 0.5 respectively. The results show the economic tend to stay in moderate growth regime. UR - https://www.ijmae.com/article_115444.html L1 - https://www.ijmae.com/article_115444_4500f04904039500a402f2931fa56aaf.pdf ER -