ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
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Publication:3440787
DOI10.1111/1467-9892.00305zbMATH Open1112.62101OpenAlexW2070712342MaRDI QIDQ3440787FDOQ3440787
Authors: Nicola Spagnolo, Zacharias Psaradakis 
Publication date: 29 May 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00305
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Cites Work
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- Comments on testing economic theories and the use of model selection criteria
- On square-integrability of an AR process with Markov switching
- Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process
- Identities and inequalities for the expected values of random matrices and loewner's theory
Cited In (29)
- Partially hidden Markov chain multivariate linear autoregressive model: inference and forecasting -- application to machine health prognostics
- On joint determination of the number of states and the number of variables in Markov-switching models: a Monte Carlo study
- A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors
- Autocovariance structure of Markov regime switching models and model selection
- Markov-switching model selection using Kullback-Leibler divergence
- Exchange rates and net portfolio flows: a Markov-switching approach
- A Bayesian regime-switching time-series model
- Consistent estimation of the number of regimes in Markov-switching autoregressive models
- 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
- Testing for linearity in Markov switching models: a bootstrap approach
- The number of regimes across asset returns: identification and economic value
- Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
- On Markov-switching periodicARMAmodels
- Asymptotic properties of autoregressive regime-switching models
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
- Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models
- Penalized estimate of the number of states in Gaussian linear AR with Markov regime
- Output fluctuations persistence: do cyclical shocks matter?
- Robust and efficient specification tests in Markov-switching autoregressive models
- Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
- A simple nonlinear dynamic model for unemployment: Explaining the spanish case
- Volatility clustering in the presence of time-varying model parameters
- Markov-switching generalized additive models
- Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
- Estimating the number of regimes of non-linear autoregressive models
- Determining the number of regimes in Markov switching VAR and VMA models
- A sequential procedure for determining the number of regimes in a threshold autoregressive model
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