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Markov-Regime Switching in Economic Variables: Part I. Modelling, Estimating and Testing. - Part II. A Selective Survey

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Author Info

  • Kaufmann, Sylvia

    (Department of Economics, University of Vienna)

  • Scheicher, Martin

    (Department of Economics, University of Vienna BWZ)

Abstract

Modelling the growth rate of economic time series with a Markov switching process in their mean and/or their variance allows to take account of two facts that are often encountered in such series, namely that the periods in which each mean is prevailing differ in their duration and that the variance of the time series differ in each period. In a first part, we will motivate the class of regime switching models, and revue the estimating and testing procedures. In the second part, we will present a brief survey of the literature on regime switching models and their applications, and also present first results of actual own research.

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File URL: http://www.ihs.ac.at/publications/eco/es-38.pdf
File Function: First version, 1996
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Bibliographic Info

Paper provided by Institute for Advanced Studies in its series Economics Series with number 38.

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Length: 44 pages
Date of creation: Nov 1996
Date of revision:
Handle: RePEc:ihs:ihsesp:38

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Related research

Keywords: Markov Switching; Time Series; EM-Algorithm; Empirical Processes; Macroeconomics; Finance;

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