Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis

DOI10.2202/1558-3708.1856zbMath1506.62487OpenAlexW2001165890MaRDI QIDQ5881618

Roberto Casarin, Monica Billio

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1856

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

Bayesian analysis of proportions via a hidden Markov model ⋮ Efficient MCMC estimation of inflated beta regression models ⋮ Partially linear beta regression model with autoregressive errors ⋮ Time-varying combinations of predictive densities using nonlinear filtering ⋮ \(K\)-state switching models with time-varying transition distributions -- Does loan growth signal stronger effects of variables on inflation?

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