ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS

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Cites work

ARMA model identification
Comments on testing economic theories and the use of model selection criteria
Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
Estimating linear representations of nonlinear processes
Identities and inequalities for the expected values of random matrices and loewner's theory
Information criteria for selecting possibly misspecified parametric models
Markov chain models, time series analysis and extreme value theory
Modeling by shortest data description
On square-integrability of an AR process with Markov switching
Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
Stationarity of multivariate Markov-switching ARMA models
Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process

Cited in

(30)

Penalized estimate of the number of states in Gaussian linear AR with Markov regime
Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
A descriptive method to evaluate the number of regimes in a switching autoregressive model
Robust and efficient specification tests in Markov-switching autoregressive models
Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
Autocovariance structure of Markov regime switching models and model selection
A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors
Markov-switching model selection using Kullback-Leibler divergence
Contemporaneous threshold autoregressive models: estimation, testing and forecasting
The number of regimes across asset returns: identification and economic value
Determining the number of regimes in Markov switching VAR and VMA models
Output fluctuations persistence: do cyclical shocks matter?
A Bayesian regime-switching time-series model
A sequential procedure for determining the number of regimes in a threshold autoregressive model
Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
On joint determination of the number of states and the number of variables in Markov-switching models: a Monte Carlo study
Exchange rates and net portfolio flows: a Markov-switching approach
On Markov-switching periodicARMAmodels
Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
Asymptotic properties of autoregressive regime-switching models
Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models
Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
Consistent estimation of the number of regimes in Markov-switching autoregressive models
Volatility clustering in the presence of time-varying model parameters
Markov-switching generalized additive models
Estimating the number of regimes of non-linear autoregressive models
Partially hidden Markov chain multivariate linear autoregressive model: inference and forecasting -- application to machine health prognostics
On using fuzzy clustering for detecting the number of states in Markov switching models
Testing for linearity in Markov switching models: a bootstrap approach
A simple nonlinear dynamic model for unemployment: Explaining the spanish case

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