Conditional Markov chain and its application in economic time series analysis
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- Jushan Bai & Peng Wang, 2011. "Conditional Markov chain and its application in economic time series analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(5), pages 715-734, August.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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More about this item
KeywordsMarkov regime switching; Conditional Markov chain;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-22 (All new papers)
- NEP-ECM-2011-09-22 (Econometrics)
- NEP-ETS-2011-09-22 (Econometric Time Series)
- NEP-ORE-2011-09-22 (Operations Research)
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