Markov-switching models with unknown error distributions: identification and inference within the Bayesian framework

DOI10.1515/SNDE-2022-0055MaRDI QIDQ6645232zbMATH OpenFDO

Authors Shih-Tang Hwu, Chang-Jin Kim

Publication date 28 November 2024

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/SNDE-2022-0055

zbMATH Keywords

identification conditionlabel switching problemMarkov chain Monte Carlomixture of normalssemi-parametric Bayesian inferenceunknown error distribution

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Markov switching Dirichlet process mixture regression

Cited in

(1)

• On using fuzzy clustering for detecting the number of states in Markov switching models

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