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Evaluating Specification Tests for Markov-Switching Time-Series Models

โœ Scribed by Daniel R. Smith


Book ID
111040062
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
560 KB
Volume
29
Category
Article
ISSN
0143-9782

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We consider modelling time series of amounts which may be zero using a stochastic ยฎrst-order Markov model with mixed transition density having a discrete component at 0 and a continuous component describing non-zero amounts. The models extend chain-dependent stochastic models in the literature on mo