Bayesian Markov Regime-Switching Models for Cointegration
نویسندگان
چکیده
منابع مشابه
Bayesian Markov Regime-Switching Models for Cointegration
This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeling cointegration, the Bayesian Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable estima...
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ژورنال
عنوان ژورنال: Applied Mathematics
سال: 2012
ISSN: 2152-7385,2152-7393
DOI: 10.4236/am.2012.312259