Add to ORKGAbstract: Modelling the growth rate of economic time series with a Markov switching process in their mean and/or their variance allows to take account of two facts that are often encountered in such series, namely that the periods in which each meanis prevailing differ in their duration and that the variance of the time series differ in each period. In a first part, we will motivate the class of regime switching models, and revue the estimating and testing procedures. In the second part, we will present a brief survey of the literature on regime switching models and their applications, and also present first results of actual own research.
Research Paper Series (National University of Singapore. Faculty of Business Administration); 2003-0...
Motivated by the great moderation in major U.S. macroeconomic time series, we formulate the regime s...
This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss...
This dissertation studies statistical properties and applications of the Markov switching models for...
Recent decades have seen extensive interest in time-varying parameter models of macroeconomic and fi...
In this paper we point out that using a two-state Markov chain to describe change in regime makes it...
Markov switching models are useful because of their ability to capture simple dynamics and important...
Markov switching models are useful because of their ability to capture simple dynamics and important...
This paper addresses the issues of identification and dating of the Euro-zone business cycle by usin...
This paper introduces regime switching parameters to the Mixed-Frequency VAR model. We begin by disc...
We propose an innovations form of the structural model underlying exponential smoothing that is furt...
The unpredictable behaviour of financial time series has long been a concern for econometricians, ma...
Economic time series models and innovations have undergone through tremendous changes over the years...
Economic time series models and innovations have undergone through tremendous changes over the years...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
Research Paper Series (National University of Singapore. Faculty of Business Administration); 2003-0...
Motivated by the great moderation in major U.S. macroeconomic time series, we formulate the regime s...
This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss...
This dissertation studies statistical properties and applications of the Markov switching models for...
Recent decades have seen extensive interest in time-varying parameter models of macroeconomic and fi...
In this paper we point out that using a two-state Markov chain to describe change in regime makes it...
Markov switching models are useful because of their ability to capture simple dynamics and important...
Markov switching models are useful because of their ability to capture simple dynamics and important...
This paper addresses the issues of identification and dating of the Euro-zone business cycle by usin...
This paper introduces regime switching parameters to the Mixed-Frequency VAR model. We begin by disc...
We propose an innovations form of the structural model underlying exponential smoothing that is furt...
The unpredictable behaviour of financial time series has long been a concern for econometricians, ma...
Economic time series models and innovations have undergone through tremendous changes over the years...
Economic time series models and innovations have undergone through tremendous changes over the years...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
Research Paper Series (National University of Singapore. Faculty of Business Administration); 2003-0...
Motivated by the great moderation in major U.S. macroeconomic time series, we formulate the regime s...
This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss...