An Introduction to Regime Switching Time Series Models

Theis Lange () and Anders Rahbek ()
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Theis Lange: University of Copenhagen, Department of Economics
Anders Rahbek: University of Copenhagen, Department of Economics

Chapter 38 in Handbook of Financial Time Series, 2009, pp 871-887 from Springer

Abstract: Abstract A survey is given on regime switching in econometric time series modelling. Numerous references to applied as well as methodological literature are presented. A distinction between observation switching (OS) and Markov switching (MS) models is suggested, where in OS models, the switching probabilities depend on functions of lagged observations. In contrast, in MS models the switching is a latent unobserved exogenous process. With an emphasis on OS and MS ARCH and cointegrated models, stationarity and ergodicity properties are discussed as well as likelihood-based estimation, asymptotic theory and hypothesis testing.

Keywords: GARCH Model; Markov Switching; Nonlinear Time Series; Arch Model; Regime Switching Model (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/978-3-540-71297-8_38

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