MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARKOV MODEL

Yong Song ()

Journal of Applied Econometrics, 2014, vol. 29, issue 5, 825-842

Abstract: SUMMARY This paper proposes an infinite hidden Markov model to integrate the regime switching and structural break dynamics in a unified Bayesian framework. Two parallel hierarchical structures, one governing the transition probabilities and another governing the parameters of the conditional data density, keep the model parsimonious and improve forecasts. This flexible approach allows for regime persistence and estimates the number of states automatically. An application to US real interest rates compares the new model to existing parametric alternatives. Copyright © 2013 John Wiley & Sons, Ltd.

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (37)

Downloads: (external link)
http://hdl.handle.net/

Related works:
Working Paper: Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model (2012)
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:wly:japmet:v:29:y:2014:i:5:p:825-842

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().