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The multi-chain Markov switching model

โœ Scribed by Edoardo Otranto

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
258 KB
Volume
24
Category
Article
ISSN
0277-6693

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โœฆ Synopsis

In many real phenomena the behaviour of a certain variable, subject to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a particular multivariate Markov switching model is developed to represent this case. The transition probabilities of this model are characterized by the dependence on the regime of the other variables. The estimation of the transition probabilities provides useful information for the researcher to forecast the regime of the variables analysed. Theoretical background and an application are shown.

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