Nonstationarities and Markov Switching Models

DOI10.1007/978-1-4614-8060-0_7zbMath1407.62422OpenAlexW23993611MaRDI QIDQ4561861

Yanpin Su, Marcelle Chauvet

Publication date: 13 December 2018

Published in: Recent Advances in Estimating Nonlinear Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-8060-0_7

zbMATH Keywords

business cyclesstabilizationMarkov chainstructural breakGreat RecessionGreat Moderationnonstationarities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

Related Items (1)

Real-time nowcasting of nominal GDP with structural breaks

Cites Work

• Unnamed Item
• Calculating posterior distributions and modal estimates in Markov mixture models
• A Markov model for switching regressions
• Estimation and comparison of multiple change-point models
• A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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