Markov-switching model selection using Kullback-Leibler divergence

DOI10.1016/J.JECONOM.2005.07.005MaRDI QIDQ278195zbMATH OpenOpenAlexFDO

Authors Aaron Smith, Prasad A. Naik, Chih-Ling Tsai

Publication date 2 May 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.07.005

zbMATH Keywords

EM algorithmhidden Markov modelsinformation criterionbusiness cyclesadvertising effectivenessMarkov-switching regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

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• Information criteria for nonlinear time series models
• Mortality regimes and longevity risk in a life annuity portfolio
• A simple approach for local and global variable importance in nonlinear regression models
• Partially hidden Markov chain multivariate linear autoregressive model: inference and forecasting -- application to machine health prognostics
• Variable prioritization in nonlinear black box methods: a genetic association case study
• On joint determination of the number of states and the number of variables in Markov-switching models: a Monte Carlo study
• Consistent estimation of the number of regimes in Markov-switching autoregressive models
• Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
• An extensive study on Markov switching models with endogenous regressors
• Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends
• Markov-Switching Three-Pass Regression Filter
• A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES
• Penalized estimate of the number of states in Gaussian linear AR with Markov regime
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• A transitional Markov switching autoregressive model
• Markov Chain Model Selection by Misclassified Model Probabilities
• Markov-switching generalized additive models
• A note on Phillips (1991): ``A constrained maximum likelihood approach to estimating switching regressions

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