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    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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    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 20 Jul 2020 16:22
    Last Modified: 20 Jul 2020 16:22
    URI: https://eprints.bbk.ac.uk/id/eprint/32612

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