On Joint Determination of the Number of States and the Number of Variables in Markov-Switching Models: A Monte Carlo Study
Author:
Publisher
Informa UK Limited
Subject
Modelling and Simulation,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03610910903121982
Reference4 articles.
1. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
2. Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
3. Markov-switching model selection using Kullback–Leibler divergence
4. Moments of Markov switching models
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2. Goodness-of-fit tests for Markov Switching VAR models using spectral analysis;Journal of Statistical Planning and Inference;2022-07
3. Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models;Journal of Time Series Analysis;2021-04-07
4. Consistent estimation of the number of regimes in Markov-switching autoregressive models;Communications in Statistics - Theory and Methods;2020-06-10
5. Jointly Determining the State Dimension and Lag Order for Markov-Switching Vector Autoregressive Models;SSRN Electronic Journal;2020
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