On Regime Separation in Markov-Switching Quantile Regressions

Gabriel Montes-Rojas (), Zacharias Psaradakis () and Martin Sola

Department of Economics Working Papers from Universidad Torcuato Di Tella

Abstract: We consider models for conditional quantiles in which parameters are subject to discrete changes governed by an exogenous, unobservable Markov chain. We argue that all quantiles of the conditional distribution of the response variable should share the Markov regimes. This gives an unambiguous classification of regimes and allows the capture of quantile-specific characteristics conditionally on the hidden regimes. The potential of our approach is illustrated using a quantile autoregression for U.S. inflation.

Keywords: Markov Switching; Quantile Regressions. (search for similar items in EconPapers)
JEL-codes: C32 C52 C58 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2024-08
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:udt:wpecon:2024_05

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