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the Multi-State Markov Switching Model

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  • 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.

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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0311001.

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Length: 25 pages
Date of creation: 07 Nov 2003
Date of revision:
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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Web page: http://128.118.178.162

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Keywords: regime-switching; multivariate time series; transition probabilities;

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