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Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching

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  • Zacharias Psaradakis
  • Nicola Spagnolo

Abstract

This paper is concerned with the problem of joint determination of the state dimension and autoregressive order of models with Markov-switching parameters. A model selection procedure is proposed which is based on optimization of complexity-penalized likelihood criteria. The efficacy of the procedure is evaluated by means of Monte Carlo experiments. Copyright 2006 The Authors Journal compilation 2006 Blackwell Publishing Ltd.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2006.00487.x
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Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 27 (2006)
Issue (Month): 5 (09)
Pages: 753-766

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Handle: RePEc:bla:jtsera:v:27:y:2006:i:5:p:753-766

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

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