Economics at your fingertips  

Przełącznikowe modele Markowa (MS) – charakterystyka i sposoby zastosowań w badaniach ekonomicznych

Monika Kośko, Marta Kwiecień and Joanna Stempińska
Additional contact information
Monika Kośko: Wyższa Szkoła Informatyki i Ekonomii w Olsztynie
Marta Kwiecień: Uniwersytet Warmińsko-Mazurski w Olsztynie
Joanna Stempińska: Uniwersytet Warmińsko-Mazurski w Olsztynie

Collegium of Economic Analysis Annals, 2016, issue 40, 479-490

Abstract: The paper presents the characteristics of Markov switching models (MS), their types, estimation method, and various methods of their application in economic research. MS models are a practical tool that is used in the analysis of economic processes characterised by the occurrence of certain states (regimes). MS models allow to describe series characterised by regular volatility over time, for example series in which there are periods of increased and decreased variability or faster and slower growth. The purpose of this article is to draw attention to the fact that Markov switching models are essential tools in modelling and forecasting such important economic issues as business cycles and time series of the financial market.

Keywords: Markov switching models; Markov chain; business cycle (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) Full text (application/pdf)

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:

Access Statistics for this article

Collegium of Economic Analysis Annals is currently edited by Joanna Plebaniak, Beata Czarnacka-Chrobot

More articles in Collegium of Economic Analysis Annals from Warsaw School of Economics, Collegium of Economic Analysis Contact information at EDIRC.
Series data maintained by Michał Bernardelli ().

Page updated 2017-09-29
Handle: RePEc:sgh:annals:i:40:y:2016:p:479-490