Estimation of Markov regime-switching regression models with endogenous switching

DOI10.1016/J.JECONOM.2007.10.002zbMATH Open1418.62487OpenAlexW2003631406MaRDI QIDQ72021FDOQ72021

Authors: Jeremy Piger, Richard Startz, Chang-Jin Kim 

Publication date: April 2008

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.10.002

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zbMATH Keywords

endogeneityregime-switching

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites Work

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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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• Normalization in Econometrics
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• A New Approach to Estimating Switching Regressions
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes

Cited In (39)

• A time varying hidden Markov model with latent information
• Does knowing the volatility states affect the market risk premium?
• Forecasting with non-homogeneous hidden Markov models
• Markov regime-switching quantile regression models and financial contagion detection
• Pricing CDS index tranches under thinning-dependence structure with regime switching
• Unconventional monetary policy reaction functions: evidence from the US
• Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984?
• Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach
• Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
• Testing for observation-dependent regime switching in mixture autoregressive models
• Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
• Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
• Learning about the across-regime correlation in switching regression models
• Solving endogenous regime switching models
• Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
• Robust stabilization of a class of state-dependent jump linear systems
• Dynamic panels with threshold effect and endogeneity
• Analysing yield spread and output dynamics in an endogenous Markov switching regression framework
• On control of discrete-time state-dependent jump linear systems with probabilistic constraints: a receding horizon approach
• hhsmm
• Hhsmm: An R package for hidden hybrid Markov/semi-Markov models
• Markov switching quantile autoregression
• A new approach to model regime switching
• OLS estimation of Markov switching VAR models: asymptotics and application to energy use
• Alternative approaches for econometric modeling of panel data using mixture distributions
• Origins of monetary policy shifts: a new approach to regime switching in DSGE models
• Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions
• Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
• Forecasting with non-homogeneous hidden Markov models
• Spline‐based nonparametric inference in general state‐switching models
• Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
• Regime-dependent fiscal multipliers in the United States
• A Markov Switching Model with Stochastic Regimes with Application to Business Cycle Analysis
• Consistency of the maximum likelihood estimate for non-homogeneous Markov-switching models
• Specification analysis in regime-switching continuous-time diffusion models for market volatility
• A regime switching skew-normal model of contagion
• Markov-switching generalized additive models
• Regime switching panel data models with interactive fixed effects
• Switching Regression Models with Imperfect Sample Separation Information--With an Application on Cartel Stability

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