Markov-switching models with unknown error distributions: identification and inference within the Bayesian framework
DOI10.1515/SNDE-2022-0055MaRDI QIDQ6645232FDOQ6645232
Authors: Shih-Tang Hwu, Chang-Jin Kim 
Publication date: 28 November 2024
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Markov chain Monte Carlolabel switching problemmixture of normalsidentification conditionunknown error distributionsemi-parametric Bayesian inference
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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- \(K\)-state switching models with time-varying transition distributions -- Does loan growth signal stronger effects of variables on inflation?
- A Markov-switching regression model with non-Gaussian innovations: estimation and testing
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