Joint Determination of the State Dimension and Autoregressive Order for Models With Markov Regime Switching
Title | Joint Determination of the State Dimension and Autoregressive Order for Models With Markov Regime Switching PDF eBook |
Author | Zacharias Psaradakis |
Publisher | |
Pages | 0 |
Release | 2007 |
Genre | |
ISBN |
This paper is concerned with the problem of joint determination of the state dimension and autoregressive order of models with Markov-switching parameters. A model selection procedure is proposed which is based on optimization of complexity-penalized likelihood criteria. The efficacy of the procedure is evaluated by means of Monte Carlo experiments.
Structural Vector Autoregressive Analysis
Title | Structural Vector Autoregressive Analysis PDF eBook |
Author | Lutz Kilian |
Publisher | Cambridge University Press |
Pages | 757 |
Release | 2017-11-23 |
Genre | Business & Economics |
ISBN | 1107196574 |
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Time Series Analysis: Methods and Applications
Title | Time Series Analysis: Methods and Applications PDF eBook |
Author | Tata Subba Rao |
Publisher | Elsevier |
Pages | 778 |
Release | 2012-06-26 |
Genre | Mathematics |
ISBN | 0444538585 |
'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.
Determining the Number of Regimes in Markov Switching VAR and VMA Models
Title | Determining the Number of Regimes in Markov Switching VAR and VMA Models PDF eBook |
Author | Maddalena Cavicchioli |
Publisher | |
Pages | 28 |
Release | 2013 |
Genre | |
ISBN |
We give stable finite order VARMA(p*; q*) representations for M-state Markov switching second-order stationary time series whose autocovariances satisfy a certain matrix relation. The upper bounds for p* and q* are elementary functions of the dimension K of the process, the number M of regimes, the autoregressive and moving average orders of the initial model. If there is no cancellation, the bounds become equalities, and this solves the identification problem. Our class of time series include every M-state Markov switching multivariate moving average models and autoregressive models in which the regime variable is uncorrelated with the observable. Our results include, as particular cases, those obtained by Krolzig (1997), and improve the bounds given by Zhang and Stine (2001) and Francq and Zakoian (2001) for our classes of dynamic models. Data simulations and an application on foreign exchange rates complete the paper.
Time Series Analysis: Methods and Applications
Title | Time Series Analysis: Methods and Applications PDF eBook |
Author | |
Publisher | Elsevier |
Pages | 777 |
Release | 2012-05-18 |
Genre | Mathematics |
ISBN | 0444538631 |
The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments.The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. - Comprehensively presents the various aspects of statistical methodology - Discusses a wide variety of diverse applications and recent developments - Contributors are internationally renowened experts in their respective areas
Applied Economic Forecasting Using Time Series Methods
Title | Applied Economic Forecasting Using Time Series Methods PDF eBook |
Author | Eric Ghysels |
Publisher | Oxford University Press |
Pages | 617 |
Release | 2018 |
Genre | Business & Economics |
ISBN | 0190622016 |
Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting.
IBSS: Economics: 2006 Vol. 55
Title | IBSS: Economics: 2006 Vol. 55 PDF eBook |
Author | British Library of Political and Economic Science Staff |
Publisher | Routledge |
Pages | 664 |
Release | 2007-10-31 |
Genre | Business & Economics |
ISBN | 9780415447171 |
First published in 2007. Routledge is an imprint of Taylor & Francis, an informa company.