ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
From MaRDI portal
Publication:3440787
DOI10.1111/1467-9892.00305zbMath1112.62101OpenAlexW2070712342MaRDI QIDQ3440787
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Related Items (19)
Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ Markov-switching model selection using Kullback-Leibler divergence ⋮ Contemporaneous threshold autoregressive models: estimation, testing and forecasting ⋮ Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach ⋮ THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE ⋮ Consistent estimation of the number of regimes in Markov-switching autoregressive models ⋮ DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS ⋮ Partially hidden Markov chain multivariate linear autoregressive model: inference and forecasting -- application to machine health prognostics ⋮ Robust and efficient specification tests in Markov-switching autoregressive models ⋮ Volatility clustering in the presence of time-varying model parameters ⋮ Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks ⋮ A simple nonlinear dynamic model for unemployment: Explaining the spanish case ⋮ On Markov-switching periodicARMAmodels ⋮ Markov-switching generalized additive models ⋮ Testing for linearity in Markov switching models: a bootstrap approach ⋮ OUTPUT FLUCTUATIONS PERSISTENCE: DO CYCLICAL SHOCKS MATTER? ⋮ A Bayesian regime-switching time-series model ⋮ Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models ⋮ Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
Cites Work
- Estimating linear representations of nonlinear processes
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Modeling by shortest data description
- ARMA model identification
- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
- Comments on testing economic theories and the use of model selection criteria
- Information criteria for selecting possibly misspecified parametric models
- Identities and inequalities for the expected values of random matrices and loewner's theory
- Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process
- Markov chain models, time series analysis and extreme value theory
- On square-integrability of an AR process with Markov switching
- Stationarity of multivariate Markov-switching ARMA models
This page was built for publication: ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
