I have been pointed towards econometric models of the state, or phase, of the general economy. What I mean more specifically is that we can think of the economy as being ruled by a few models or data generating processes, between which the economy can switch. For example we could have one model for an expansionary phase, another for a contractionary phase, and one for each turning point.
Do you know of any reference to such models being used? I am particularly interested in models that say what phase we are currently in, given available data.