In this paper we examine a model of cointegration where long-run parameters are subject to switching between several dierent cointegrating regimes. These shifts are allowed to be governed by the outcome of an unobserved Markov chain with unknown transition probabilities. We illustrate this approach
Changes in regime and the term structure: A note
β Scribed by John Driffill
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 473 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0165-1889
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