A Markov model for switching regressions

DOI10.1016/0304-4076(73)90002-XzbMath0294.62087OpenAlexW2027447060MaRDI QIDQ1212765

Stephen M. Goldfeld, Richard E. Quandt

Publication date: 1973

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

Full work available at URL: https://doi.org/10.1016/0304-4076(73)90002-x

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Markov processes: estimation; hidden Markov models (62M05)

Related Items

State space Markov switching models using wavelets, What does Google say about credit developments in Brazil?, Asymmetries in the monetary policy reaction function: evidence from India, Maximum likelihood estimation for quantile autoregression models with Markovian switching, A Selective Overview and Comparison of Robust Mixture Regression Estimators, Dynamic clustering of multivariate panel data, Estimation for finite mixture of mode regression models using skew-normal distribution, A finite mixture mixed proportion regression model for classification problems in longitudinal voting data, A data-driven reversible jump for estimating a finite mixture of regression models, An effective approach towards efficient estimation of general linear model in case of heteroscedastic errors, Inference about a change point in experimental neurophysiology, Variable selection in finite mixture of median regression models using skew-normal distribution, Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model, Empirical Characteristic Function Estimation and Its Applications, Markov-switching linked autoregressive model for non-continuous wind direction data, A skew-normal mixture of joint location, scale and skewness models, Robust mixture regression using the \(t\)-distribution, Markov regime-switching quantile regression models and financial contagion detection, A Bayesian mixture of Lasso regressions with \(t\)-errors, On the price of risk under a regime switching CGMY process, Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation, A stochastic differential game for optimal investment of an insurer with regime switching, Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes, Valuation of annuity guarantees under a self-exciting switching jump model, Analytic value function for optimal regime-switching pairs trading rules, Robust estimation of the number of components for mixtures of linear regression models, Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results, A smooth likelihood simulator for dynamic disequilibrium models, Markov-switching state-space models with applications to neuroimaging, Specification testing in Markov-switching time-series models, A self-exciting threshold jump-diffusion model for option valuation, Nonstationarities and Markov Switching Models, A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing, Model-based time-varying clustering of multivariate longitudinal data with covariates and outliers, Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates, Penalized proportion estimation for non parametric mixture of regressions, A new model selection procedure for finite mixture regression models, Robust variable selection in finite mixture of regression models using the t distribution, Pricing and hedging equity-indexed annuities via local risk-minimization, Estimation and variable selection for mixture of joint mean and variance models, Estimation and inference for mixture of partially linear additive models, Lending cycles, What proportion of time is a particular market inefficient? {\dots} A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions, Calculating posterior distributions and modal estimates in Markov mixture models, A proof of consistency of the MLE for nonlinear Markov-switching AR processes, Penalized estimation in finite mixture of ultra-high dimensional regression models, Inverse regression approach to robust nonlinear high-to-low dimensional mapping, A dynamic programming approach to the estimation of markov switching regression models, THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS, Markov-switching quantile autoregression: a Gibbs sampling approach, A hidden Markov regime-switching smooth transition model, Robust and efficient specification tests in Markov-switching autoregressive models, SPRT and CUSUM in hidden Markov models, Penalized estimate of the number of states in Gaussian linear AR with Markov regime, Utility-based indifference pricing in regime-switching models, Stochastic model specification in Markov switching vector error correction models, Eliminating the omitted variable bias by a regime-switching approach, An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model, Bayesian estimation of the switching regression model with autocorrelated errors, Robust clusterwise linear regression through trimming, Regime-switching risk: to price or not to price?, Pricing and managing risks of European-style options in a Markovian regime-switching binomial model, Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process, A hidden Markov regime-switching model for option valuation, Mortality modelling with regime-switching for the valuation of a guaranteed annuity option, Non parametric mixture of strictly monotone regression models, Semiparametric mixture of additive regression models, Markov-switching generalized additive models, Does knowing the volatility states affect the market risk premium?, Estimation of Markov regime-switching regression models with endogenous switching, Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach, Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model, Mixture of multivariate \(t\) nonlinear mixed models for multiple longitudinal data with heterogeneity and missing values, Reliability for discrete state systems with cyclic missions periods, Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area, Threshold autoregressive models for interval-valued time series data, Pursuing Sources of Heterogeneity in Modeling Clustered Population, Sequential detection of switches in models with changing structures, Distribution switching in financial time series, HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS, Semiparametric mixtures of nonparametric regressions, Martingale Representation and Admissible Portfolio Process with Regime Switching, On a Markov chain approximation method for option pricing with regime switching, A time varying hidden Markov model with latent information, Penalty method for indifference pricing of American option in a liquidity switching market, OLS estimation of Markov switching VAR models: asymptotics and application to energy use, Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables, Analysis of time series subject to changes in regime, Estimation of the mixtures of GLMs with covariate-dependent mixing proportions, Mortality Regimes and Pricing, UK government expenditure and electoral security in the 1980s: A nonlinear analysis, Variable selection for skew-normal mixture of joint location and scale models, Change-point problems: bibliography and review, Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models, Malware Family Discovery Using Reversible Jump MCMC Sampling of Regimes, Markov switching quantile regression models with time-varying transition probabilities, Switching state-space models: likelihood function, filtering and smoothing, Keynesian dynamics and the wage-price spiral: identifying downward rigidities, Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching, Nonparametric Mixture of Regression Models, On estimation in multiphase regression models with several regressors using prior knowledge, Gradient projection Newton algorithm for sparse collaborative learning using synthetic and real datasets of applications, A Bayesian analysis of some threshold switching models, Estimation of Distress Costs Associated with Downgrades Using Regimeswitching Models, Mixtures of Linear Regression with Measurement Errors, Dynamic linear models with Markov-switching, Local modal regression, Mixture of Regression Models With Varying Mixing Proportions: A Semiparametric Approach, Adaptive Mixtures of Regressions: Improving Predictive Inference when Population has Changed, Pricing Annuity Guarantees Under a Regime-Switching Model

Cites Work