Bayesian inference for periodic regime-switching models
AbstractWe present a general class of nonlinear time-series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as in the laws of motion in each of the regimes. This class of models allows for non-trivial dependencies between seasonal, cyclical and long-term patterns in the data. To overcome the computational burden we adopt a Bayesian approach to estimation and inference. This paper contains two empirical examples as illustration, one uses housing starts data while the other employs US post-Second World War industrial production. © 1998 John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 13 (1998)
Issue (Month): 2 ()
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
Other versions of this item:
- Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1994. "Bayesian Inference for Periodic Regime-Switching Models," CIRANO Working Papers 94s-15, CIRANO.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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