Consistent estimation of the number of regimes in Markov-switching autoregressive models

DOI10.1080/03610926.2020.1777304OpenAlexW3034182035MaRDI QIDQ5081005

Jingxue Fu, Lan Wu

Publication date: 1 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1777304

zbMATH Keywords

model selectionKullback-Leibler divergenceinformation criterioncompensated likelihood methodMarkov-switching autoregression models

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Impulse response function analysis for Markov switching VAR models

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