Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource], rev
-switching regressions typically relies on the
assumption that the latent state variable controlling regime change is exogenous. We relax …, referred to in the following as a Markov-switching
model, in which the latent state variable controlling regime shifts follows … model of Markov-switching in which the latent state variable
controlling the regime shifts is endogenously determined. The …