Add to ORKGIn this paper we point out that using a two-state Markov chain to describe change in regime makes it difficult to interpret the model since there is a bias towards frequent shifts. However, by using a finite Markov chain with a transition matrix satisfying certain restrictions it is possible to circumvent the difficulty and at the same time use the established procedures for estimation and filtering. The methods are applied to a couple of time series from the Norwegian quarterly national accounts.publishedVersio
We study model selection issues and some extensions of Markov switching models. We establish both th...
Recent decades have seen extensive interest in time-varying parameter models of macroeconomic and fi...
The present paper concerns a Maximum Likelihood analysis for the Markov switching approach to the fo...
In this paper we point out that using a two-state Markov chain to describe change in regime makes it...
Markov switching models are a popular family of models that introduces time-variation in the paramet...
Abstract: Modelling the growth rate of economic time series with a Markov switching process in their...
This dissertation studies statistical properties and applications of the Markov switching models for...
Motivated by the great moderation in major U.S. macroeconomic time series, we formulate the regime s...
The unpredictable behaviour of financial time series has long been a concern for econometricians, ma...
This paper proposes a model which allows for discrete stochastic breaks in the time-varying transiti...
Markov switching models are useful because of their ability to capture simple dynamics and important...
The class of Markov Switching time series models, introduced by Professor James Hamilton, is nearly ...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
This article deals with using panel data to infer regime changes that are common to all of the cross...
We propose an innovations form of the structural model underlying exponential smoothing that is furt...
We study model selection issues and some extensions of Markov switching models. We establish both th...
Recent decades have seen extensive interest in time-varying parameter models of macroeconomic and fi...
The present paper concerns a Maximum Likelihood analysis for the Markov switching approach to the fo...
In this paper we point out that using a two-state Markov chain to describe change in regime makes it...
Markov switching models are a popular family of models that introduces time-variation in the paramet...
Abstract: Modelling the growth rate of economic time series with a Markov switching process in their...
This dissertation studies statistical properties and applications of the Markov switching models for...
Motivated by the great moderation in major U.S. macroeconomic time series, we formulate the regime s...
The unpredictable behaviour of financial time series has long been a concern for econometricians, ma...
This paper proposes a model which allows for discrete stochastic breaks in the time-varying transiti...
Markov switching models are useful because of their ability to capture simple dynamics and important...
The class of Markov Switching time series models, introduced by Professor James Hamilton, is nearly ...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
This article deals with using panel data to infer regime changes that are common to all of the cross...
We propose an innovations form of the structural model underlying exponential smoothing that is furt...
We study model selection issues and some extensions of Markov switching models. We establish both th...
Recent decades have seen extensive interest in time-varying parameter models of macroeconomic and fi...
The present paper concerns a Maximum Likelihood analysis for the Markov switching approach to the fo...