Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models

DOI10.1080/07350015.2017.1380032MaRDI QIDQ6634880zbMATH OpenFDO

Authors Maximo Camacho, Manuel Ruiz Marín

Publication date 8 November 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Analysis of the likelihood function for Markov-switching VAR(CH) models
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Chapter 1 Dating Business Cycle Turning Points
• Dynamic linear models with Markov-switching
• Finite mixture and Markov switching models.
• Stationarity of multivariate Markov-switching ARMA models

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