A Markov switching model with stochastic regimes with application to business cycle analysis

DOI10.1007/978-3-319-42571-9_3MaRDI QIDQ5283091zbMATHOpenAlexFDO

Authors

Publication date 18 July 2017

Published in New Developments in Statistical Modeling, Inference and Application (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-42571-9_3

zbMATH Keywords

Markov switching modelbusiness cycle analysisstochastic regimes

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Markov processes: hypothesis testing (62M02)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A simple Bayesian approach to multiple change-points
• Analysis of time series subject to changes in regime
• Autoregressive conditional heteroskedasticity and changes in regime
• Business cycle durations
• Dynamic linear models with Markov-switching
• Estimation of Markov regime-switching regression models with endogenous switching
• Short rate nonlinearities and regime switches.
• Specification testing in Markov-switching time-series models

Cited in

(15)

• A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle
• Markov switching Dirichlet process mixture regression
• A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors
• Markov-switching stochastic trends and economic fluctuations
• Nonstationarities and Markov switching models
• Markov-switching models with applications in macroeconomics and finance
• Bayesian analysis of the stochastic switching regression model using Markov chain Monte Carlo methods
• Identification of business cycles and the Great Moderation in the post-war U.S. economy
• Analysing yield spread and output dynamics in an endogenous Markov switching regression framework
• Time-series model with periodic stochastic regime switching. I: Theory
• Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
• Clustering regional business cycles
• scientific article; zbMATH DE number 5726492 (Why is no real title available?)
• Model averaging in Markov-switching models: predicting national recessions with regional data
• What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study

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