Time reversibility of stationary regular finite-state Markov chains
From MaRDI portal
Publication:278256
DOI10.1016/j.jeconom.2005.09.001zbMath1418.62518MaRDI QIDQ278256
Publication date: 2 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.cireqmontreal.com/wp-content/uploads/cahiers/09-2004-cah.pdf
62P20: Applications of statistics to economics
62F15: Bayesian inference
62M05: Markov processes: estimation; hidden Markov models
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
Related Items
Comment on “On the imaginary-real ratio rule of power spectra” [J. Math. Phys. 50, 063301 (2009)], On the imbedding problem for three-state time homogeneous Markov chains with coinciding negative eigenvalues, Conditional exact tests for Markovianity and reversibility in multiple categorical sequences, Fitting a reversible Markov chain by maximum likelihood: converting an awkwardly constrained optimization problem to an unconstrained one, Exact Goodness‐of‐Fit Tests for Markov Chains, TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS, GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS, On the imaginary-real ratio rule of power spectra
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Calculating posterior distributions and modal estimates in Markov mixture models
- Using the BACC software for Bayesian inference
- Time reversibility tests of volume-volatility dynamics for stock returns
- Testing time reversibility without moment restrictions
- A Theory of Dynamic Oligopoly, II: Price Competition, Kinked Demand Curves, and Edgeworth Cycles
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Using simulation methods for bayesian econometric models: inference, development,and communication
- Bayesian Methods for Hidden Markov Models
- Consistent Nonparametric Entropy-Based Testing
