Macroeconomic Regimes and Regime Shifts

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Forecasting: theory and practice (2020, background): “These types of regime changes are very common in macroeconomic time series (Hamilton, 2016) and can cause the forecasts from many models to go off track.”
Economic Policy Uncertainty Spillovers in Booms and Busts (2019, unknown): “Hamilton (2003) shows that oil price ﬂuctuations have preceded all US recessions included in our sample. t Hence, oil prices may very well be an important driver of both uncertainty and real activity in the US and Canada.”