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the Multi-State Markov Switching Model

Author

Listed:
  • Edoardo Otranto

    (DEIR-Università di Sassari)

Abstract

In many real phenomena the behaviour of a certain variable, subjected to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a particular multivariate Markov Switching model is developed to represent this case. The transition probabilities of this model are characterized by the dependence on the regime of the other variables. The estimation of the transition probabilities provides useful informations for the researcher to forecast the regime of the variables analyzed. Theoretical background and an application are shown.

Suggested Citation

  • Edoardo Otranto, 2003. "the Multi-State Markov Switching Model," Econometrics 0311001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:0311001
    Note: Type of Document - pdf; prepared on WinXP; to print on LaserWriter II NT; pages: 25. PDF document submitted via ftp
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    More about this item

    Keywords

    regime-switching; multivariate time series; transition probabilities;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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