A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS

Edoardo Otranto and Giampiero Gallo ()

Econometric Reviews, 2002, vol. 21, issue 4, 477-496

Keywords: Markov switching models; Nuisance parameters; Specification testing; Exchange rate determination; JEL Classification: C2; C5; F3 (search for similar items in EconPapers)
Date: 2002
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Working Paper: A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models (2001)
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DOI: 10.1081/ETC-120015387

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