S. FRÜHWIRTH-SCHNATTER (2006) Finite Mixture and Markov Switching Models.

Markov Switching Dirichlet Process Mixture Regression

Markov switching models can be used to study heterogeneous populations that are observed over time. This paper explores modeling the group characteristics nonparametrically, under both homogeneous and nonhomogeneous Markov switching for group probabilities. The model formulation involves a finite mixture of conditionally independent Dirichlet process mixtures, with a Markov chain defining the m...

On the Convergence Rate of Random Permutation Sampler and ECR Algorithm in Missing Data Models

Label switching is a well-known phenomenon that occurs in MCMC outputs targeting the parameters’ posterior distribution of many latent variable models. Although its appearence is necessary for the convergence of the simulated Markov chain, it turns out to be a problem in the estimation procedure. In a recent paper, Papastamoulis and Iliopoulos (2010) introduced the Equivalence Classes Represent...

Markov-Switching Models

Fads Models with Markov Switching Hetroskedasticity: decomposing Tehran Stock Exchange return into Permanent and Transitory Components

Stochastic behavior of stock returns is very important for investors and policy makers in the stock market. In this paper, the stochastic behavior of the return index of Tehran Stock Exchange (TEDPIX) is examined using unobserved component Markov switching model (UC-MS) for the 3/27/2010 until 8/3/2015 period. In this model, stock returns are decomposed into two components; a permanent componen...

Asymmetric Effects of Monetary Policy and Business Cycles in Iran using Markov-switching Models

This paper investigates the asymmetric effects of monetary policy on economic growth over business cycles in Iran. Estimating the models using the Hamilton (1989) Markov-switching model and by employing the data for 1960-2012, the results well identify two regimes characterized as expansion and recession. Moreover, the results show that an expansionary monetary policy has a positive and statist...