Markov-switching quantile autoregression: a Gibbs sampling approach
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Publication:2691752
DOI10.1515/SNDE-2016-0078OpenAlexW2749312791MaRDI QIDQ2691752
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2016-0078
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)
Related Items (4)
Hidden semi-Markov-switching quantile regression for time series ⋮ Dealing with Markov-switching parameters in quantile regression models ⋮ Maximum likelihood estimation for quantile autoregression models with Markovian switching ⋮ Markov switching quantile regression models with time-varying transition probabilities
Uses Software
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