A Markov Switching Model with Stochastic Regimes with Application to Business Cycle Analysis

DOI10.1007/978-3-319-42571-9_3zbMath1366.62267OpenAlexW2529086991MaRDI QIDQ5283091

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Publication date: 18 July 2017

Published in: New Developments in Statistical Modeling, Inference and Application (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-42571-9_3

zbMATH Keywords

Markov switching modelbusiness cycle analysisstochastic regimes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes: hypothesis testing (62M02)

Cites Work

• Estimation of Markov regime-switching regression models with endogenous switching
• Analysis of time series subject to changes in regime
• Business cycle durations
• Dynamic linear models with Markov-switching
• Autoregressive conditional heteroskedasticity and changes in regime
• Short rate nonlinearities and regime switches.
• Specification testing in Markov-switching time-series models
• A simple Bayesian approach to multiple change-points
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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