Markov-switching model selection using Kullback-Leibler divergence

DOI10.1016/j.jeconom.2005.07.005zbMath1418.62537OpenAlexW1969570435MaRDI QIDQ278195

F. Blanchet-Sadri, M. Dambrine

Publication date: 2 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.005

zbMATH Keywords

business cyclesEM algorithmhidden Markov modelsinformation criterionadvertising effectivenessMarkov-switching regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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