Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models-Reference-Cited by-同舟云学术

Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models

Published:2018-05-22 Issue:3 Volume:37 Page:484-495
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Alvarez Rocio¹,Camacho Maximo²^ORCID,Ruiz Manuel³

Affiliation:

1. Facultad de Economía y Negocios, Universidad Central de Chile, Santiago, Región Metropolitana, Chile ()

2. Departamento de Métodos Cuantítativos para la Economía y la Empresa, Facultad de Economia y Empresa, Universidad de Murcia, 30100 Murcia, Spain ()

3. Departamento de Métodos Cuantítativos e Informáticos, Facultad de Ciencias de la Empresa, Universidad Politécnica de Cartagena, 30202 Cartagena, Murcia, Spain ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2017.1380032

Reference22 articles.

1. Regime Switches in Interest Rates

2. Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models

3. Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified

4. ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV-SWITCHING VAR(CH) MODELS

5. Chapter 1 Dating Business Cycle Turning Points

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Forecasting Markov switching vector autoregressions: Evidence from simulation and application;Journal of Forecasting;2024-08-15

2. A matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas markets;The Journal of Economic Asymmetries;2024-06

3. Impulse response function analysis for Markov switching var models;Economics Letters;2023-11

4. Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables;Journal of Multivariate Analysis;2023-07

5. Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US;International Journal of Forecasting;2023-04