Bootstrap-based evaluation of markov-switching time series models

DOI10.1080/07474939808800416zbMath0906.62091OpenAlexW1977680849MaRDI QIDQ4211360

Zacharias Psaradakis

Publication date: 22 February 1999

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939808800416

zbMATH Keywords

Markov chainparametric bootstrapregime-switchingspectral density functionMarkov-switching time series modelsmoving estimates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items

Testing for linearity in Markov switching models: a bootstrap approach

Cites Work

• Unnamed Item
• Unnamed Item
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Bootstrap methods: another look at the jackknife
• Dynamic linear models with Markov-switching
• Optimization. Algorithms and consistent approximations
• Specification testing in Markov-switching time-series models
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• Computer Generation of Normal Random Variables
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
• Model Checking via Parametric Bootstraps in Time Series Analysis