Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation

DOI10.1016/j.jeconom.2003.12.010zbMath1084.62021MaRDI QIDQ1886287

Nicolas Chopin, Florian Pelgrin

Publication date: 18 November 2004

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.12.010

zbMATH Keywords

Switching regression models; Hidden Markov models; Information content of the yield curve; Particle filters; State number determination

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62F15: Bayesian inference

62M05: Markov processes: estimation; hidden Markov models

Related Items

Inference and Model Choice for Sequentially Ordered Hidden Markov Models, Dynamic detection of change points in long time series

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