Conditional Markov chain and its application in economic time series analysis
Author
Abstract
(This abstract was borrowed from another version of this item.)
Suggested Citation
Download full text from publisher
To our knowledge, this item is not available for download. To find whether it is available, there are three options:1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Other versions of this item:
- Bai, Jushan & Wang, Peng, 2011. "Conditional Markov chain and its application in economic time series analysis," MPRA Paper 33369, University Library of Munich, Germany.
References listed on IDEAS
- Olivier Blanchard & John Simon, 2001. "The Long and Large Decline in U.S. Output Volatility," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 135-174.
- Charles R. Nelson, 2000. "Output fluctuations in the United States: what has changed since the early 1980s? comments," Proceedings, Federal Reserve Bank of San Francisco.
- Kim, Chang-Jin & Nelson, Charles R & Piger, Jeremy, 2004.
"The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 22(1), pages 80-93, January.
- Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2001. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," International Finance Discussion Papers 707, Board of Governors of the Federal Reserve System (U.S.).
- Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2003. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," Working Papers 2001-016, Federal Reserve Bank of St. Louis.
- Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao, 2008.
"Methods for inference in large multiple-equation Markov-switching models,"
Journal of Econometrics,
Elsevier, vol. 146(2), pages 255-274, October.
- Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006. "Methods for inference in large multiple-equation Markov-switching models," FRB Atlanta Working Paper 2006-22, Federal Reserve Bank of Atlanta.
- Amisano, Gianni & Geweke, John, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 831, European Central Bank.
- Margaret M. McConnell & Gabriel Perez-Quiros, 2000.
"Output fluctuations in the United States: what has changed since the early 1980s?,"
Proceedings,
Federal Reserve Bank of San Francisco, issue Mar.
- Gabriel Perez-Quiros & Margaret M. McConnell, 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?," American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December.
- Margaret M. McConnell & Gabriel Perez Quiros, 1997. "Output fluctuations in the United States: what has changed since the early 1980s?," Research Paper 9735, Federal Reserve Bank of New York.
- Margaret M. McConnell & Gabriel Perez Quiros, 1998. "Output fluctuations in the United States: what has changed since the early 1980s?," Staff Reports 41, Federal Reserve Bank of New York.
- Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2013.
"Crises and Recoveries in an Empirical Model of Consumption Disasters,"
American Economic Journal: Macroeconomics,
American Economic Association, vol. 5(3), pages 35-74, July.
- Jose Ursua & Jon Steinsson & Emi Nakamura & Robert Barro, 2008. "Crises and Recoveries in an Empirical Model of Consumption Disasters," 2008 Meeting Papers 1089, Society for Economic Dynamics.
- Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2010. "Crises and Recoveries in an Empirical Model of Consumption Disasters," NBER Working Papers 15920, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Stéphane GOUTTE & Benteng Zou, 2011. "Foreign exchange rates under Markov Regime switching model," CREA Discussion Paper Series 11-16, Center for Research in Economic Analysis, University of Luxembourg.
- Chang, Kuang-Liang, 2016. "Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 72-87.
- Leiva-Leon, Danilo, 2013.
"A New Approach to Infer Changes in the Synchronization of Business Cycle Phases,"
MPRA Paper
54452, University Library of Munich, Germany.
- Danilo Leiva-Leon, 2014. "A New Approach to Infer Changes in the Synchronization of Business Cycle Phases," Staff Working Papers 14-38, Bank of Canada.
- Troy A. Davig, 2008. "Detecting recessions in the Great Moderation: a real-time analysis," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 5-33.
- Goutte, Stéphane, 2014.
"Conditional Markov regime switching model applied to economic modelling,"
Economic Modelling,
Elsevier, vol. 38(C), pages 258-269.
- Stéphane Goutte, 2012. "Conditional Markov regime switching model applied to economic modelling," Working Papers hal-00747479, HAL.
- Shu-Ping Shi, 2013. "Specification sensitivities in the Markov-switching unit root test for bubbles," Empirical Economics, Springer, vol. 45(2), pages 697-713, October.
- Danilo Leiva-Leon, 2017.
"Measuring Business Cycles Intra-Synchronization in US: A Regime-switching Interdependence Framework,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 79(4), pages 513-545, August.
- Danilo Leiva-Leon, 2017. "Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework," Working Papers 1726, Banco de España;Working Papers Homepage.
- Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
- Raphaël Homayoun Boroumand & Stéphane Goutte & Simon Porcher & Thomas Porcher, 2014. "A Conditional Markov Regime Switching Model to Study Margins: Application to the French Fuel Retail Markets," Working Papers hal-01090837, HAL.
- Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
- Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
- Sylvia Kaufmann, 2016. "Hidden Markov models in time series, with applications in economics," Working Papers 16.06, Swiss National Bank, Study Center Gerzensee.
- Gilbert Mbara, 2017. "Business Cycle Dating after the Great Moderation: A Consistent Two – Stage Maximum Likelihood Method," Working Papers 2017-13, Faculty of Economic Sciences, University of Warsaw.
More about this item
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:japmet:v:26:y:2011:i:5:p:715-734. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.interscience.wiley.com/jpages/0883-7252/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.