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The model is positioned in between a fully pooled model, which imposes such common features, and a fully heterogeneous model, which allows for unrestricted nonlinearity. We introduce a second\u2010stage model linking the parameters that determine the timing of the switches between business cycle regimes to observable explanatory variables, thereby allowing for lead\u2013lag relationships across panel members. We discuss representation, estimation by concentrated simulated maximum likelihood and inference. We illustrate our model using quarterly industrial production in 19 US manufacturing sectors, and document that there are subtle differences across sectors in leads and lags for switches between business cycle recessions and expansions. Copyright \u00a9 2005 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.822","type":"journal-article","created":{"date-parts":[[2005,9,26]],"date-time":"2005-09-26T16:46:53Z","timestamp":1127753213000},"page":"811-827","source":"Crossref","is-referenced-by-count":127,"title":["A multi\u2010level panel STAR model for US manufacturing sectors"],"prefix":"10.1002","volume":"20","author":[{"given":"Dennis","family":"Fok","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Dick","family":"van Dijk","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Philip Hans","family":"Franses","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2005,9,26]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(97)00076-6"},{"key":"e_1_2_7_3_1","doi-asserted-by":"crossref","unstructured":"BartelsmanEJ GrayW.1996.The NBER manufacturing productivity database. 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