Predicting Markov-Switching Vector Autoregressive Processes
While there has been a great deal of interest in the modelling of non-linearities and regime shifts in economic time series, there is no clear consensus regarding the forecasting abilities of these models. In this paper we develop a general approach to predict multiple time series subject to Markovian shifts in the regime. The feasibility of the proposed forecasting techniques in empirical research is demonstrated and their forecast accuracy is evaluated.
|Date of creation:||01 Apr 2000|
|Date of revision:|
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