An extensive study on Markov switching models with endogenous regressors

DOI10.1515/SNDE-2012-0071zbMath1332.62293OpenAlexW587284386MaRDI QIDQ905388

N. E. Zubov

Publication date: 19 January 2016

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

Full work available at URL: https://doi.org/10.1515/snde-2012-0071

zbMATH Keywords

endogeneityMarkov switching modeltwo-step estimation procedureconsumption modeljoint estimation procedureMCMC estimation procedure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02)

Cites Work

• Markov-switching model selection using Kullback-Leibler divergence
• Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
• Dynamic linear models with Markov-switching
• Markov-switching models with endogenous explanatory variables
• Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Partial non-Gaussian state space
• On Gibbs sampling for state space models
• Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures
• Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates

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