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Przełącznikowe modele Markowa (MS) – charakterystyka i sposoby zastosowań w badaniach ekonomicznych

Author

Listed:
  • Monika Kośko

    (Wyższa Szkoła Informatyki i Ekonomii w Olsztynie)

  • Marta Kwiecień

    (Uniwersytet Warmińsko-Mazurski w Olsztynie)

  • Joanna Stempińska

    (Uniwersytet Warmińsko-Mazurski w Olsztynie)

Abstract

The paper presents the characteristics of Markov switching models (MS), their types, estimation method, and various methods of their application in economic research. MS models are a practical tool that is used in the analysis of economic processes characterised by the occurrence of certain states (regimes). MS models allow to describe series characterised by regular volatility over time, for example series in which there are periods of increased and decreased variability or faster and slower growth. The purpose of this article is to draw attention to the fact that Markov switching models are essential tools in modelling and forecasting such important economic issues as business cycles and time series of the financial market.

Suggested Citation

  • Monika Kośko & Marta Kwiecień & Joanna Stempińska, 2016. "Przełącznikowe modele Markowa (MS) – charakterystyka i sposoby zastosowań w badaniach ekonomicznych," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 40, pages 479-490.
    • Handle: RePEc:sgh:annals:i:40:y:2016:p:479-490
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    References listed on IDEAS

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