Markov-switching quantile autoregression: a Gibbs sampling approach

DOI10.1515/SNDE-2016-0078OpenAlexW2749312791MaRDI QIDQ2691752

Xiaochun Liu, Richard Luger

Publication date: 30 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-2016-0078

zbMATH Keywords

quantile regressionGibbs samplerasymmetric Laplace distributionregime changesnon-crossing quantiles

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

Hidden semi-Markov-switching quantile regression for time series ⋮ Dealing with Markov-switching parameters in quantile regression models ⋮ Maximum likelihood estimation for quantile autoregression models with Markovian switching ⋮ Markov switching quantile regression models with time-varying transition probabilities

Uses Software

• CAViaR

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