Estimation of Markov regime-switching regression models with endogenous switching
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Cites work
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- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3366405 (Why is no real title available?)
- A Markov model for switching regressions
- A New Approach to Estimating Switching Regressions
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Normalization in Econometrics
- SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE
- Skewed multivariate models related to hidden truncation and/or selective reporting. With discussion and a rejoinder by the authors.
- The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
Cited in
(45)- Switching Regression Models with Imperfect Sample Separation Information--With an Application on Cartel Stability
- Does knowing the volatility states affect the market risk premium?
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- Markov regime-switching quantile regression models and financial contagion detection
- Forecasting with non-homogeneous hidden Markov models
- A Markov switching model with stochastic regimes with application to business cycle analysis
- 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?
- Testing for observation-dependent regime switching in mixture autoregressive models
- Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach
- A control function approach to estimating switching regression models with endogenous explanatory variables and endogenous switching
- Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
- Estimation of state-space models with endogenous Markov regime-switching parameters
- Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
- Learning about the across-regime correlation in switching regression models
- Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
- Solving endogenous regime switching models
- hhsmm
- An extensive study on Markov switching models with endogenous regressors
- Estimation of endogenously sampled time series: the case of commodity price speculation in the steel market
- Regime switching model estimation: spectral clustering hidden Markov model
- 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: An R package for hidden hybrid Markov/semi-Markov models
- A new approach to model regime switching
- Markov switching quantile autoregression
- 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
- Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
- Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions
- Forecasting with non-homogeneous hidden Markov models
- Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
- Spline‐based nonparametric inference in general state‐switching models
- Regime-dependent fiscal multipliers in the United States
- Markov-switching models with endogenous explanatory variables
- 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
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