A new approach to model regime switching

DOI10.1016/J.JECONOM.2016.09.005zbMath1443.62438OpenAlexW2530061651MaRDI QIDQ341901

Joon Y. Park, Yongok Choi, Yoosoon Chang

Publication date: 17 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.09.005

zbMATH Keywords

endogeneitymaximum likelihood estimationMarkov chainmean reversionleverage effectregime switching modellatent factor

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Estimation of Markov regime-switching regression models with endogenous switching
• On leverage in a stochastic volatility model
• Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
• Calculating posterior distributions and modal estimates in Markov mixture models
• Dynamic linear models with Markov-switching
• Specification testing in Markov-switching time-series models
• Moments of Markov switching models
• Markov-switching models with endogenous explanatory variables
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Estimation of state-space models with endogenous Markov regime-switching parameters
• A Gaussian Mixture Autoregressive Model for Univariate Time Series
• Testing for Regime Switching

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