the Multi-State Markov Switching Model
In many real phenomena the behaviour of a certain variable, subjected to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a particular multivariate Markov Switching model is developed to represent this case. The transition probabilities of this model are characterized by the dependence on the regime of the other variables. The estimation of the transition probabilities provides useful informations for the researcher to forecast the regime of the variables analyzed. Theoretical background and an application are shown.
|Date of creation:||07 Nov 2003|
|Note:||Type of Document - pdf; prepared on WinXP; to print on LaserWriter II NT; pages: 25. PDF document submitted via ftp|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0311001. 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: (EconWPA)
If references are entirely missing, you can add them using this form.