Predicting Markov-Switching Vector Autoregressive Processes

While there has been a great deal of interest in the modelling of non-linearities and regime shifts in economic time series, there is no clear consensus regarding the forecasting abilities of these models. In this paper we develop a general approach to predict multiple time series subject to Markovian shifts in the regime. The feasibility of the proposed forecasting techniques in empirical research is demonstrated and their forecast accuracy is evaluated.

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Year of publication:	2000-04-01
Authors:	Krolzig, Hans-Martin
Institutions:	Department of Economics, Oxford University
Subject:	Forecasting \| Regime Shifts \| Structural Breaks \| Causality \| Predictability \| Intercept Correction \| Business Cycle \| Markov Switching

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Extent:	application/pdf
Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2000-W31
Classification:	C53 - Forecasting and Other Model Applications ; E37 - Forecasting and Simulation ; C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010605227