Results 161 to 170 of about 111,800 (195)

Testing Markov switching models

Applied Economics, 2014
In this article, we propose a new test for Markov switching models. Unlike the tests in the existing literature (e.g. Hansen, 1992; Garcia, 1998; Cho and White, 2007), we focus on testing the null of two regimes, instead of one single regime, in a switching framework.
openaire   +1 more source

Markov Switching Models

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.
openaire   +1 more source

The multi-chain Markov switching model

Journal of Forecasting, 2005
In many real phenomena the behaviour of a certain variable, subject to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a particular multivariate Markov switching model is developed
openaire   +5 more sources

Markov Switching Tensor Regressions

A new flexible tensor-on-tenor regression model that accounts for latent regime changes is proposed. The coefficients are driven by a common hidden Markov process that addresses structural breaks to enhance the model's flexibility and preserve parsimony.
Casarin, Roberto, Craiu, Radu, Wang, Qing   +2 more
openaire   +1 more source

Switching Between Chartists And Fundamentalists: A Markov Regime-Switching Approach

SSRN Electronic Journal, 1996
Depuis le début des années 80, les modèles fondés sur les facteurs économiques fondamentaux n'ont guère contribué à expliquer les variations du taux de change (Messe 1990). Devant ce problème, Frankel et Froot (1988) ont élaboré un modèle dans lequel ils ont utilisé deux approches de prévision du taux de change : l'approche fondamentaliste, dans ...
openaire   +2 more sources

Markov Switching Rationality

2023
Florens Odendahl, Barbara Rossi, Tatevik Sekhposyan   +2 more
openaire   +1 more source

Indirect Estimation of Markov Switching Models with Endogenous Switching [PDF]

, 2005
Markov Switching models have been successfully applied to many economic problems. The most popular version of these models implies that the change in the state is driven by a Markov Chain and that the state is an exogenous discrete unobserved variable. This hypothesis seems to be too restrictive.
OTRANTO E, CALZOLARI, GIORGIO, DI IORIO F.   +2 more
openaire   +7 more sources

Markov Switches and Extreme Events

2012
This chapter examines the effects of a dramatic switch in the dynamics of economic growth for the term structure of the discount rate over the longer term. Economies undergo radical transformations. One such radical transformation was called the “industrial revolution” which has had a long-lasting effect on economic growth.
openaire   +1 more source

Markov-switching proxy BVARs

2019
This paper extends the Bayesian proxy SVAR model (BP-SVAR) of Caldara and Herbst (2019) to examine changes in the transmission of structural shocks in the presence of regime shifts in an economy. I provide a Metropolis-within-Gibbs sampling algorithm to approximate the posterior distribution of model parameters.
openaire   +1 more source

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