A new approach to model regime switching
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Publication:341901
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
endogeneitymaximum likelihood estimationMarkov chainmean reversionleverage effectregime switching modellatent factor
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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