State space Markov switching models using wavelets

Alencar Airlane P. (), Morettin Pedro A. and Toloi Clelia M.C.
Additional contact information
Alencar Airlane P.: Institute of Mathematics and Statistics, Statistics Department, University of São Paulo, Rua do Matão, 1010, 05508-090, São Paulo, SP, Brazil
Morettin Pedro A.: Institute of Mathematics and Statistics, Statistics Department, University of São Paulo, Rua do Matão, 1010, 05508-090, São Paulo, SP, Brazil
Toloi Clelia M.C.: Institute of Mathematics and Statistics, Statistics Department, University of São Paulo, Rua do Matão, 1010, 05508-090, São Paulo, SP, Brazil

Studies in Nonlinear Dynamics & Econometrics, 2013, vol. 17, issue 2, 221-238

Abstract: We propose a state space model with Markov switching, whose regimes are associated with the model parameters and regime transition probabilities are modeled using wavelets. The estimation is based on the maximum likelihood method using the EM algorithm and a bootstrap method is proposed in order to assess the distribution of the maximum likelihood estimators. To evaluate the state variables and regime probabilities, the Kalman filter and a probability filter procedure conditional on each possible regime, at each instant, are used. These procedures are evaluated with simulated data and illustrated with the US monthly industrial production index from July 1968 to February 2011.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/snde-2012-0020 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:17:y:2013:i:2:p:221-238:n:2

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html

DOI: 10.1515/snde-2012-0020

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().