STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
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Publication:4319847
DOI10.1111/j.1467-9892.1994.tb00208.xzbMath0807.62096MaRDI QIDQ4319847
Ruey S. Tsay, Robert E. McCulloch
Publication date: 1 March 1995
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00208.x
sensitivity analysis; Gibbs sampler; two-state Markov chain; prior specification; general Markov switching model; real gross national product
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
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