Markov-Switching Model Selection Using Kullback-Leibler Divergence
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DOI: 10.22004/ag.econ.11976
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- Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling, 2006. "Markov-switching model selection using Kullback-Leibler divergence," Journal of Econometrics, Elsevier, vol. 134(2), pages 553-577, October.
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