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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.

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you are talking about "regime switching models". Just google it and you will find more sources than you might have wished for. –  Probilitator May 27 '14 at 7:43

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