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This thesis displays a presentation of the Hamilton's Markov Switching model both in simple and State Space form. Moreover, the model is applied in the India's GDP and DJIA Index using R. This thesis is based on three chapters of Markov Switching models.
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Trend in Markov Switching VAR Models
We consider deterministic time trends in Markov Switching Vector Autoregressive processes, and propose estimation of the parameters by using a modified Expectation-Maximization (EM) algorithm. Then we derive consistency and the asymptotic distribution of the obtained estimators.openaire +2 more sources
Almost Sure Stability of Markov Jump Systems With Persistent Dwell Time Switching
IEEE Transactions on Systems, Man, and Cybernetics: Systems, 2021Siyi Li, Jie Lian
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What drives oil prices? — A Markov switching VAR approach
Resources Policy, 2021Xu Gong, Keqin Guan, Tangyong Liu
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Short-term wind speed forecasting with Markov-switching model
Applied Energy, 2014Zhe Song, Zijun Zhang
exaly
Almost Sure Stability of Switching Markov Jump Linear Systems
IEEE Transactions on Automatic Control, 2016Yang Song, Minrui Fei
exaly
The impact of oil shocks on exchange rates: A Markov-switching approach
Energy Economics, 2016Syed Abul Basher +2 more
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New index of coincident indicators: A multivariate Markov switching factor model approach
Journal of Monetary Economics, 1995Hyoung Seop Kim
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Specification testing in Markov-switching time-series models
Journal of Econometrics, 1996James D Hamilton
exaly