A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
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Publication:4817435
DOI10.1081/ETC-120015387zbMath1140.62318MaRDI QIDQ4817435
Edoardo Otranto, Giampiero M. Gallo
Publication date: 22 September 2004
Published in: Econometric Reviews (Search for Journal in Brave)
62G10: Nonparametric hypothesis testing
62F15: Bayesian inference
62M02: Markov processes: hypothesis testing
Related Items
Bayesian Inference of Hidden Markov Models Using Dirichlet Mixtures, Volatility clustering in the presence of time-varying model parameters, Bayesian Nonparametric Panel Markov-Switching GARCH Models, Exact and approximate hidden Markov chain filters based on discrete observations, Testing for linearity in Markov switching models: a bootstrap approach, Dirichlet process mixtures under affine transformations of the data, A Markov Switching Re-evaluation of Event-Study Methodology, The Mixturegram: A Visualization Tool for Assessing the Number of Components in Finite Mixture Models
Uses Software
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