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Regime Switching State-Space Models Applied to Psychological Processes: Handling Missing Data and Making Inferences

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  • E. Hamaker

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  • R. Grasman
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11336-012-9254-8
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    Bibliographic Info

    Article provided by Springer in its journal Psychometrika.

    Volume (Year): 77 (2012)
    Issue (Month): 2 (April)
    Pages: 400-422

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    Handle: RePEc:spr:psycho:v:77:y:2012:i:2:p:400-422

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    Web page: http://www.springerlink.com/link.asp?id=112911

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    Related research

    Keywords: Kalman filter; regime switching; state-space model; missing data;

    References

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    1. Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543.
    2. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
    3. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 279-88, July.
    4. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
    5. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    6. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
    7. William Meredith, 1993. "Measurement invariance, factor analysis and factorial invariance," Psychometrika, Springer, vol. 58(4), pages 525-543, December.
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    Cited by:
    1. Sy-Miin Chow & Guangjian Zhang, 2013. "Nonlinear Regime-Switching State-Space (RSSS) Models," Psychometrika, Springer, vol. 78(4), pages 740-768, October.

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