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Modeles a changement de regime Markovien

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Author Info
Bessec, M.
N'Diaye, P. MB. P.

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Abstract

Nous proposons dans cet article une presentation generale des modeles a changement de regime introduits par Hamilton (1989). Nous commencons par expliquer la structure, les proprietes, les procedures d'estimation et de test developpees dans la litterature. Nous procedons ensuite a une presentation des differentes extensions apportees a la specification originelle. Enfin, nous degageons dans la conclusion les nombreuses pistes de recherche a explorer.

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Publisher Info
Paper provided by Paris I - Economie Mathematique et Applications in its series Papers with number 1999.56.

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Length: 48 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:pariem:1999.56

Contact details of provider:
Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France
Web page: http://cermsem.univ-paris1.fr/
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Related research
Keywords: MODELES TESTS EVALUATION

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models

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