Estimation of state-space models with endogenous Markov regime-switching parameters

DOI10.1111/ECTJ.12014OpenAlexW1843545314MaRDI QIDQ5093222

Kyu Ho Kang

Publication date: 26 July 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/ectj.12014

zbMATH Keywords

marginal likelihoodparticle filterpredictive accuracydynamic Nelson-Siegel modelBayesian Markov chain Monte Carlo estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (5)

A new approach to model regime switching ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Unnamed Item ⋮ Origins of monetary policy shifts: a new approach to regime switching in DSGE models ⋮ Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter

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