A Markov switching model with stochastic regimes with application to business cycle analysis
DOI10.1007/978-3-319-42571-9_3zbMATH Open1366.62267OpenAlexW2529086991MaRDI QIDQ5283091FDOQ5283091
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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
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Cites Work
- Estimation of Markov regime-switching regression models with endogenous switching
- Autoregressive conditional heteroskedasticity and changes in regime
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Analysis of time series subject to changes in regime
- Dynamic linear models with Markov-switching
- Short rate nonlinearities and regime switches.
- Specification testing in Markov-switching time-series models
- A simple Bayesian approach to multiple change-points
- Business cycle durations
Cited In (8)
- Title not available (Why is that?)
- Bayesian analysis of the stochastic switching regression model using Markov chain Monte Carlo methods
- A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle
- What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study
- Analysing yield spread and output dynamics in an endogenous Markov switching regression framework
- Markov-switching stochastic trends and economic fluctuations
- Time-series model with periodic stochastic regime switching. I: Theory
- Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
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