The multi-chain Markov switching model
Edoardo Otranto ()
Journal of Forecasting, 2005, vol. 24, issue 7, 523-537
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 to represent this case. The transition probabilities of this model are characterized by the dependence on the regime of the other variables. The estimation of the transition probabilities provides useful information for the researcher to forecast the regime of the variables analysed. Theoretical background and an application are shown. Copyright © 2005 John Wiley & Sons, Ltd.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23) Track citations by RSS feed
Downloads: (external link)
http://hdl.handle.net/10.1002/for.965 Link to full text; subscription required (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:24:y:2005:i:7:p:523-537
Access Statistics for this article
Journal of Forecasting is currently edited by Derek W. Bunn
More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().