Autoregressive Moving Average Infinite Hidden Markov-Switching Models-Reference-Cited by-同舟云学术

Autoregressive Moving Average Infinite Hidden Markov-Switching Models

Published:2017-03-13 Issue:2 Volume:35 Page:162-182
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Bauwens Luc¹,Carpantier Jean-François²,Dufays Arnaud³

Affiliation:

1. CORE, Université Catholique de Louvain, B-1348 Louvain La Neuve, Belgium, and SKEMA Business School, Lille, France ()

2. CREA, Université du Luxembourg, Luxembourg, Grand Duché de Luxembourg>

3. Department of Economics, Université Laval, Ville de Québec, Canada()

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/10.1080/07350015.2015.1123636

Reference54 articles.

1. Comparing Density Forecasts via Weighted Likelihood Ratio Tests

2. Ardia, D., Hoogerheide, L., and van Dijk, H. (2009), “To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods,” Tinbergen Institute Discussion Paper TI 2009-017/4.

3. On adaptive Markov chain Monte Carlo algorithms

4. Large Sample Properties of Parameter Estimates for Periodic ARMA Models

5. Marginal likelihood for Markov-switching and change-point GARCH models

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