Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching

This paper is concerned with the problem of joint determination of the state dimension and autoregressive order of models with Markov-switching parameters. A model selection procedure is proposed which is based on optimization of complexity-penalized likelihood criteria. The efficacy of the procedure is evaluated by means of Monte Carlo experiments. Copyright 2006 The Authors Journal compilation 2006 Blackwell Publishing Ltd.

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Year of publication:	2006
Authors:	Psaradakis, Zacharias ; Spagnolo, Nicola
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 27.2006, 5, p. 753-766
Publisher:	Wiley Blackwell

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005676611