Markov-Regime Switching in Economic Variables: Part I. Modelling, Estimating and Testing. - Part II. A Selective Survey
Modelling the growth rate of economic time series with a Markov switching process in their mean and/or their variance allows to take account of two facts that are often encountered in such series, namely that the periods in which each mean is prevailing differ in their duration and that the variance of the time series differ in each period. In a first part, we will motivate the class of regime switching models, and revue the estimating and testing procedures. In the second part, we will present a brief survey of the literature on regime switching models and their applications, and also present first results of actual own research.
|Date of creation:||Nov 1996|
|Contact details of provider:|| Postal: Josefstädterstr. 39, A-1080 Vienna, Austria|
Phone: ++43 - (0)1 - 599 91 - 0
Fax: ++43 - (0)1 - 599 91 - 555
Web page: http://www.ihs.ac.at
More information through EDIRC
|Order Information:|| Postal: Institute for Advanced Studies - Library, Josefstädterstr. 39, A-1080 Vienna, Austria|
When requesting a correction, please mention this item's handle: RePEc:ihs:ihsesp:38. 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: (Doris Szoncsitz)
If references are entirely missing, you can add them using this form.