Modelling Regime Switching and Structural Breaks with an Infinite Dimension Markov Switching Model
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References listed on IDEAS
- Evans, Martin & Wachtel, Paul, 1993. "Inflation Regimes and the," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 475-511, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- DUFAYS, Arnaud, 2012. "Infinite-state Markov-switching for dynamic volatility and correlation models," CORE Discussion Papers 2012043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- CARPANTIER, Jean-François & DUFAYS, Arnaud, 2014.
"Specific Markov-switching behaviour for ARMA parameters,"
CORE Discussion Papers
2014014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jean-François Carpantier & Arnaud Dufays, 2014. "Specific Markov-switching behaviour for ARMA parameters," Working Papers hal-01821134, HAL.
- Jean-François Carpantier, 2014. "Specific Markov-switching behaviour for ARMA parameters," CREA Discussion Paper Series 14-07, Center for Research in Economic Analysis, University of Luxembourg.
More about this item
Keywordshidden Markov model; Bayesian nonparametrics; Dirchlet process;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-23 (All new papers)
- NEP-ECM-2011-04-23 (Econometrics)
- NEP-ETS-2011-04-23 (Econometric Time Series)
- NEP-FOR-2011-04-23 (Forecasting)
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