A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models
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- Edoardo Otranto & Giampiero Gallo, 2002. "A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 477-496.
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More about this item
Keywords
Markov switching models; nuisance parameters; specification testing; exchange rate determination.;All these keywords.
JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- F3 - International Economics - - International Finance
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