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
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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