STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS

DOI10.1111/J.1467-9892.1994.TB00208.XzbMath0807.62096OpenAlexW2124700543MaRDI QIDQ4319847

Ruey S. Tsay, Robert E. McCulloch

Publication date: 1 March 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00208.x

zbMATH Keywords

sensitivity analysisGibbs samplertwo-state Markov chainprior specificationgeneral Markov switching modelreal gross national product

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (32)

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Cites Work

• Unnamed Item
• Analysis of time series subject to changes in regime
• Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
• Sampling-Based Approaches to Calculating Marginal Densities
• The Calculation of Posterior Distributions by Data Augmentation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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