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Time Reversibility of Stationary Regular Finite State Markov Chains

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Author Info
McCAUSLAND, William

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Abstract

We propose an alternate parameterization of stationary regular finite-state Markov chains, and a decomposition of the parameter into time reversible and time irreversible parts. We demonstrate some useful properties of the decomposition, and propose an index for a certain type of time irreversibility. Two empirical examples illustrate the use of the proposed parameter, decomposition and index. One involves observed states; the other, latent states.

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File URL: http://hdl.handle.net/1866/521
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Publisher Info
Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 2004-07.

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Length: 24 pages
Date of creation: 2004
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Handle: RePEc:mtl:montde:2004-07

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Related research
Keywords: Finite-state Markov chains Time reversibility Bayesian inference Hidden Markov Models

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Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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  1. Robinson, P M, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 437-53, May. [Downloadable!] (restricted)
  2. Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February. [Downloadable!] (restricted)
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  3. Maskin, Eric & Tirole, Jean, 1988. "A Theory of Dynamic Oligopoly, II: Price Competition, Kinked Demand Curves, and Edgeworth Cycles," Econometrica, Econometric Society, vol. 56(3), pages 571-99, May. [Downloadable!] (restricted)
  4. 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. [Downloadable!] (restricted)
  5. Eckert, Andrew, 2003. "Retail price cycles and the presence of small firms," International Journal of Industrial Organization, Elsevier, vol. 21(2), pages 151-170, February. [Downloadable!] (restricted)
  6. Fong, Wai Mun, 2003. "Time reversibility tests of volume-volatility dynamics for stock returns," Economics Letters, Elsevier, vol. 81(1), pages 39-45, October. [Downloadable!] (restricted)
  7. Melvin J. Hinich & Philip Rothman, . "A Frequency Domain Test of Time Reversibility," Working Papers 9706, East Carolina University, Department of Economics. [Downloadable!]
  8. Andrew Eckert, 2002. "Retail price cycles and response asymmetry," Canadian Journal of Economics, Canadian Economics Association, vol. 35(1), pages 52-77, February. [Downloadable!] (restricted)
  9. Darolles, S. & Florens, J.-P. & Gourieroux, C., 2000. "Kernel Based Nonlinear Canonical Analysis and Time Reversibility," Papers 2000-18, Institut National de la Statistique et des Etudes Economiques-.
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