Regime-switching cointegration

DOI10.1515/snde-2012-0064zbMath1506.62515OpenAlexW1636847030MaRDI QIDQ2687854

Markus Jochmann, Gary Koop

Publication date: 7 March 2023

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

Full work available at URL: https://doi.org/10.1515/snde-2012-0064

zbMATH Keywords

cointegrationMarkov switchingBayesian inferencemodel averagingstructural breaks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends ⋮ Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests ⋮ Stochastic model specification in Markov switching vector error correction models ⋮ The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks?

Uses Software

• bvarsv

Cites Work

• Testing for the cointegration rank when some cointegrating directions are changing
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• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• Forecasting and conditional projection using realistic prior distributions
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• TIME-VARYING COINTEGRATION
• Time Varying Structural Vector Autoregressions and Monetary Policy
• COINTEGRATING SMOOTH TRANSITION REGRESSIONS
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling

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