Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
Maciej Augustyniak and
Arnaud Dufays
Economics Letters, 2018, vol. 170, issue C, 122-126
Abstract:
The Markov-switching multifractal process, and recent extensions such as the factorial hidden Markov volatility model, correspond to tightly parametrized hidden Markov models characterized by a high-dimensional state space. Because the central component in these models is a Markov chain restricted to have positive support, the applicability of such models has been so far limited to the modeling of positive processes such as volatilities, inter-trade durations and trading volumes. By adapting the factorial hidden Markov volatility model, we develop a new regime-switching process for capturing time variation in the conditional mean of a time series with support on the whole real line. We show its promising performance to fit 21 widely used macroeconomic data sets.
Keywords: Conditional mean model; Markov-switching; Factorial hidden Markov model; Multifractal (search for similar items in EconPapers)
JEL-codes: C22 C51 C58 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176518302325
Full text for ScienceDirect subscribers only
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:eee:ecolet:v:170:y:2018:i:c:p:122-126
DOI: 10.1016/j.econlet.2018.06.009
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().