A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS

DOI10.1081/ETC-120015387zbMath1140.62318MaRDI QIDQ4817435

Edoardo Otranto, Giampiero M. Gallo

Publication date: 22 September 2004

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

Markov switching models; Nuisance parameters; Specification testing; Exchange rate determination

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62F15: Bayesian inference

62M02: Markov processes: hypothesis testing

Related Items

Bayesian Inference of Hidden Markov Models Using Dirichlet Mixtures, Volatility clustering in the presence of time-varying model parameters, Exact and approximate hidden Markov chain filters based on discrete observations, Testing for linearity in Markov switching models: a bootstrap approach, Dirichlet process mixtures under affine transformations of the data, A Markov Switching Re-evaluation of Event-Study Methodology, The Mixturegram: A Visualization Tool for Assessing the Number of Components in Finite Mixture Models

Uses Software

• CODA

Cites Work

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