Joint determination of the state dimension and autoregressive order for models with Markov regime switching
Psaradakis, Zacharias and Spagnolo, N. (2006) Joint determination of the state dimension and autoregressive order for models with Markov regime switching. Journal of Time Series Analysis 27 (5), pp. 753-766. ISSN 0143-9782.
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Official URL: https://doi.org/10.1111/j.1467-9892.2006.00487.x
Abstract
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.
Metadata
Item Type: | Article |
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School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
Depositing User: | Sarah Hall |
Date Deposited: | 20 Jul 2020 16:22 |
Last Modified: | 02 Aug 2023 18:01 |
URI: | https://eprints.bbk.ac.uk/id/eprint/32612 |
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