State space Markov switching models using wavelets

DOI10.1515/snde-2012-0020zbMath1506.62476OpenAlexW2050006477WikidataQ61851416 ScholiaQ61851416MaRDI QIDQ5881689

Clélia M. C. Toloi, Airlane Pereira Alencar, Pedro Alberto Morettin

Publication date: 13 March 2023

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

Full work available at URL: https://doi.org/10.1515/snde-2012-0020

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (3)

Markov-switching state-space models with applications to neuroimaging ⋮ Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ Case study: shipping trend estimation and prediction via multiscale variance stabilisation

Uses Software

• Ox
• astsa

Cites Work

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• astsa
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• Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A New Approach to Estimating Switching Regressions

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