On Joint Determination of the Number of States and the Number of Variables in Markov-Switching Models: A Monte Carlo Study

DOI10.1080/03610910903121982zbMath1396.62188OpenAlexW2044636546MaRDI QIDQ3652720

Thatphong Awirothananon, Wai-Kong Cheung (Adrian)

Publication date: 16 December 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10072/29377

zbMATH Keywords

Monte CarloMarkov-switching modelinformation criteria

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Markov processes: hypothesis testing (62M02)

Related Items (3)

Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ Consistent estimation of the number of regimes in Markov-switching autoregressive models ⋮ Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models

Cites Work

• Markov-switching model selection using Kullback-Leibler divergence
• Moments of Markov switching models
• Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

This page was built for publication: On Joint Determination of the Number of States and the Number of Variables in Markov-Switching Models: A Monte Carlo Study