Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models

DOI10.1111/jtsa.12587zbMath1469.62404OpenAlexW3138897669MaRDI QIDQ5001029

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Publication date: 16 July 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12587

zbMATH Keywords

model selectionregime switchingbusiness cycleinformation criteriavector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

Related Items (2)

Impulse response function analysis for Markov switching VAR models ⋮ Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends

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