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An Introduction to Regime Switching Time Series Models

In: Handbook of Financial Time Series

Author

Listed:
  • Theis Lange

    (University of Copenhagen, Department of Economics)

  • Anders Rahbek

    (University of Copenhagen, Department of Economics)

Abstract

A survey is given on regime switching in econometric time series modelling. Numerous references to applied as well as methodological literature are presented. A distinction between observation switching (OS) and Markov switching (MS) models is suggested, where in OS models, the switching probabilities depend on functions of lagged observations. In contrast, in MS models the switching is a latent unobserved exogenous process. With an emphasis on OS and MS ARCH and cointegrated models, stationarity and ergodicity properties are discussed as well as likelihood-based estimation, asymptotic theory and hypothesis testing.

Suggested Citation

  • Theis Lange & Anders Rahbek, 2009. "An Introduction to Regime Switching Time Series Models," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 38, pages 871-887, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-71297-8_38
    DOI: 10.1007/978-3-540-71297-8_38
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