Bayesian Methods in Nonlinear Time Series [PDF]
This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective.
Korenok Oleg
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On the Stability of the Wealth Effect [PDF]
Evidence of instability of the wealth effect in the USA is presented through the estimation of a Markov switching model of the long-run aggregate consumption function. The dating of the regimes appears to bear relation to movements in asset prices.
Fernando Alexandre +2 more
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Are CDS spreads predictable during the Covid-19 pandemic? Forecasting based on SVM, GMDH, LSTM and Markov switching autoregression. [PDF]
Expert Syst Appl, 2022 Vukovic DB +3 more
europepmc +1 more source
Measuring Business Cycle Turning Points in Japan with a Dynamic Markov Switching Factor Model [PDF]
In the dynamic factor model, a single unobserved factor common to some macroeconomic variables is defined as a composite index to measure business cycles.
Watanabe, Toshiaki
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The impact of coal combustion, nitrous oxide emissions, and traffic emissions on COVID-19 cases: a Markov-switching approach. [PDF]
Environ Sci Pollut Res Int, 2021 Anser MK +5 more
europepmc +1 more source
Markov-switching decision trees
AStA Advances in Statistical AnalysisAbstractDecision trees constitute a simple yet powerful and interpretable machine learning tool. While tree-based methods are designed only for cross-sectional data, we propose an approach that combines decision trees with time series modeling and thereby bridges the gap between machine learning and statistics.
Adam, Timo +2 more
openaire +3 more sources
Levy Approximation of Impulsive Recurrent Process with Semi-Markov Switching [PDF]
, 2009 In this paper, the weak convergence of impulsive recurrent process with semi-Markov switching in the scheme of Levy approximation is proved. Singular perturbation problem for the compensating operator of the extended Markov renewal process is used to ...
Koroliuk, V. S. +2 more
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A Real Business Cycle Model with Changing Sentiments [PDF]
In this paper the modification of the real business cycles model in which risk aversion parameter of agents’ utility function follows bivariate markov chain is developed and estimated using simulated VAR. The model’s ability to replicate properties of US
Kirill Sossunov
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Modeling Business Cycles In The Romanian Economy Using The Markov Switching Approach [PDF]
I use the Markov Switching AR approach to model the business cycles in Romanian economy for the 1991-2008 period using monthly data on industrial production.
Caraiani, Petre
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Do Leading Indicators Help to Predict Business Cycle Turning Points in Germany? [PDF]
Using a binary reference series based on the dating procedure of Artis, Kontolemis and Osborn (1997) different procedures for predicting turning points of the German business cycles were tested.
Ulrich Fritsche, Vladimir Kuzin
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