Abstract
This article attempts to simultaneously investigate different regimes in both mean and volatility of post-war US GDP growth using a four-regime Bayesian Markov switching model. Bayesian approach suffers from the label switching problem that leads to the failure of identifying regimes. We introduce two methods to deal with the label switching problem in posterior simulations of parameters. The four regimes identified by either of the two methods capture different characteristics in mean and volatility of US GDP growth.
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