Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths
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- Michael Dueker, 2004. "Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths," Econometric Society 2004 Latin American Meetings 34, Econometric Society.
- Siddhartha Chib & Michael J. Dueker, 2004. "Non-Markovian regime switching with endogenous states and time-varying state strengths," Working Papers 2004-030, Federal Reserve Bank of St. Louis.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012.
"Combination schemes for turning point predictions,"
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More about this item
KeywordsRegime switching; Markov Chain Monte Carlo;
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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