Markov switching model (in Russian)

Chung-Ming Kuan ()

Quantile, 2013, issue 11, 13-40

Abstract: We discuss the Markov switching model, one of most popular nonlinear time series models. This model involves switching between multiple structures that characterize different time series behaviors in different regimes, the switching mechanism being controlled by an unobservable variable that follows a Markov chain process. We introduce a simple Markov switching model of conditional mean and describe its generalizations, study estimation methods, discuss how to conduct hypothesis testing, and elaborate on two empirical examples.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:qnt:quantl:y:2013:i:11:p:13-40

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