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the Multi-State Markov Switching Model

Edoardo Otranto ()

Econometrics from University Library of Munich, Germany

Abstract: In many real phenomena the behaviour of a certain variable, subjected to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a particular multivariate Markov Switching model is developed to represent this case. The transition probabilities of this model are characterized by the dependence on the regime of the other variables. The estimation of the transition probabilities provides useful informations for the researcher to forecast the regime of the variables analyzed. Theoretical background and an application are shown.

Keywords: regime-switching; multivariate time series; transition probabilities (search for similar items in EconPapers)
JEL-codes: C1 C3 C5 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2003-11-07
Note: Type of Document - pdf; prepared on WinXP; to print on LaserWriter II NT; pages: 25. PDF document submitted via ftp
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0311001

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