Abstract
This paper develops a framework for inferring common Markov-switching components in a panel data set with large cross-section and time-series dimensions. We apply the framework to studying similarities and dierences across U.S. states in the timing of business cycles. We hypothesize that there exists a small number of cluster designations, with individual states in a given cluster sharing certain business cycle characteristics. We …nd that although oil-producing and agricultural states can sometimes experience a separate recession from the rest of the United States, for the most part, dierences across states appear to be a matter of timing, with some states entering recession or recovering before others. (JEL: C11; C32; E32)
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