Estimating Components in Finite Mixtures and Hidden Markov Models
Author
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Hansen, Bruce E, 1992. "The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 61-82, Suppl. De.
- Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
- Jing Zhang & Robert A. Stine, 2001. "Autocovariance Structure of Markov Regime Switching Models and Model Selection," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(1), pages 107-124, January.
- Sylvia. Richardson & Peter J. Green, 1997. "On Bayesian Analysis of Mixtures with an Unknown Number of Components (with discussion)," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(4), pages 731-792.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
- Hansen, Bruce E, 1996.
"Erratum: The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(2), pages 195-198, March-Apr.
- Bruce E. Hansen, 1995. "Erratum: The Likelihood ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Boston College Working Papers in Economics 296., Boston College Department of Economics.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Md Atikur Rahman Khan & D.S. Poskitt, 2010. "Description Length Based Signal Detection in singular Spectrum Analysis," Monash Econometrics and Business Statistics Working Papers 13/10, Monash University, Department of Econometrics and Business Statistics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012.
"Dynamic risk exposures in hedge funds,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
- Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, Department of Economics, University of Venice "Ca' Foscari".
- ZHENG, Tingguo & WANG, Xia & GUO, Huiming, 2012. "Estimating forward-looking rules for China's Monetary Policy: A regime-switching perspective," China Economic Review, Elsevier, vol. 23(1), pages 47-59.
- LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
- Jacobson Tor & Lindh Thomas & Warne Anders, 2002.
"Growth, Saving, Financial Markets, and Markov Switching Regimes,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(4), pages 1-20, January.
- Jacobson, Tor & Lindh, Thomas & Warne, Anders, 1998. "Growth, Savings, Financial Markets and Markov Switching Regimes," Working Paper Series 69, Sveriges Riksbank (Central Bank of Sweden).
- Arielle Beyaert & Juan Jose Perez-Castejon, 2009. "Markov-switching models, rational expectations and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 399-412.
- Ihle, Rico & von Cramon-Taubadel, Stephan, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Medhioub, Imed, 2007. "Asymétrie des cycles économiques et changement de régimes : cas de la Tunisie," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 529-553, décembre.
- Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-11.
- Fabra, Natalia & Toro, Juan, 2005.
"Price wars and collusion in the Spanish electricity market,"
International Journal of Industrial Organization, Elsevier, vol. 23(3-4), pages 155-181, April.
- Natalia Fabra & Juan Toro, 2001. "Price Wars and Collusion in the Spanish Electricity Market," Economic Working Papers at Centro de Estudios Andaluces E2001/05, Centro de Estudios Andaluces.
- Juan ToroNatalia Fabra & Universidad Carlos III de Madrid, 2002. "Price Wars and Collusion in the Spanish Electricity Market," Economics Series Working Papers 136, University of Oxford, Department of Economics.
- Natalia Fabra & Juan Toro, 2002. "Price Wars and Collusion in the Spanish Electricity Market," Industrial Organization 0212001, University Library of Munich, Germany, revised 26 Jan 2004.
- Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio, 2003.
"The out-of-sample success of term structure models as exchange rate predictors: a step beyond,"
Journal of International Economics, Elsevier, vol. 60(1), pages 61-83, May.
- Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
- Taylor, Mark & Clarida, Richard & Sarno, Lucio & Valente, Giorgio, 2002. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," CEPR Discussion Papers 3281, C.E.P.R. Discussion Papers.
- Bu, Ruijun & Cheng, Jie & Hadri, Kaddour, 2016.
"Reducible diffusions with time-varying transformations with application to short-term interest rates,"
Economic Modelling, Elsevier, vol. 52(PA), pages 266-277.
- Ruijun Bu & Jie Cheng & Kaddour Hadri, 2014. "Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates," Economics Working Papers 14-01, Queen's Management School, Queen's University Belfast.
- Sylvia Kaufmann, 2002.
"Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data,"
Empirical Economics, Springer, vol. 27(2), pages 277-297.
- Sylvia Kaufmann, 2001. "Is there an asymmetric effect on monetary policy over time? A bayesian analysis using Austrian data," Working Papers 45, Oesterreichische Nationalbank (Austrian Central Bank).
- Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004.
"The European business cycle,"
Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 1-44, January.
- Artis, M. & Krolzig, H.-M. & Toro, J., 1999. "The European Business Cycle," Economics Working Papers eco99/24, European University Institute.
- Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002. "The European Business Cycle," Economic Working Papers at Centro de Estudios Andaluces E2002/19, Centro de Estudios Andaluces.
- Artis, Michael J & Krolzig, Hans-Martin & Toro, Juan, 1999. "The European Business Cycle," CEPR Discussion Papers 2242, C.E.P.R. Discussion Papers.
- Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007-24, Christian-Albrechts-University of Kiel, Department of Economics.
- Sugita, Katsuhiro, 2008. "Bayesian analysis of a Markov switching temporal cointegration model," Japan and the World Economy, Elsevier, vol. 20(2), pages 257-274, March.
- Nan Li & Simon S. Kwok, 2021. "Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 471-491, July.
- Sen, Rituparna & Hsieh, Fushing, 2009. "A note on testing regime switching assumption based on recurrence times," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2443-2450, December.
- Dewachter, Hans, 2001. "Can Markov switching models replicate chartist profits in the foreign exchange market?," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 25-41, February.
- Charles, Amélie & Darné, Olivier & Diebolt, Claude & Ferrara, Laurent, 2015.
"A new monthly chronology of the US industrial cycles in the prewar economy,"
Journal of Financial Stability, Elsevier, vol. 17(C), pages 3-9.
- Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2011. "A new monthly chronology of the US industrial cycles in the prewar economy," EconomiX Working Papers 2011-27, University of Paris Nanterre, EconomiX.
- Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2012. "A new monthly chronology of the US industrial cycles in the prewar economy," Working Papers 12-02, Association Française de Cliométrie (AFC).
- Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2015. "A new monthly chronology of the US industrial cycles in the prewar economy," Post-Print hal-01146800, HAL.
- Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2011. "A new monthly chronology of the US industrial cycles in the prewar economy," Working Papers hal-04140957, HAL.
- Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers 2002-26, Brown University, Department of Economics.
More about this item
Keywords
Finite mixture; hidden Markov process; model selection; number of states; penalized quasi-likelihood; generalized quasi-likelihood ratio; strong consistency.;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2004-05-02 (Econometrics)
- NEP-ETS-2004-05-02 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:2004-10. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Professor Xibin Zhang (email available below). General contact details of provider: https://edirc.repec.org/data/dxmonau.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.