Analysis of time series subject to changes in regime

DOI10.1016/0304-4076(90)90093-9zbMath0723.62050MaRDI QIDQ756894

James D. Hamilton

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(90)90093-9

zbMATH Keywords

hypothesis testing; maximum likelihood estimates; nonstationary processes; vector autoregression; analytic derivatives of the sample log-likelihood function; Bayesian priors; discrete shifts of time series; discrete-valued Markov process; EM principle; smoothed inferences; smoothed probabilities

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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Uses Software

• nlmdl

Cites Work

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