Consistent estimation of the number of regimes in Markov-switching autoregressive models

DOI10.1080/03610926.2020.1777304OpenAlexW3034182035MaRDI QIDQ5081005FDOQ5081005

Authors: Jingxue Fu, Lan Wu 

Publication date: 1 June 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1777304

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zbMATH Keywords

model selectionKullback-Leibler divergenceinformation criterioncompensated likelihood methodMarkov-switching autoregression models

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (4)

• Impulse response function analysis for Markov switching VAR models
• Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
• Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions
• Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence

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