Determining the Number of Regimes in Markov-Switching VAR and VMA Models
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References listed on IDEAS
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More about this item
KeywordsSecond-order stationary time series; VMA models; VAR models; State-Space models; Markov chains; changes in regime; regime number.;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- 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
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-16 (All new papers)
- NEP-ECM-2013-03-16 (Econometrics)
- NEP-ETS-2013-03-16 (Econometric Time Series)
- NEP-ORE-2013-03-16 (Operations Research)
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