In this paper, we investigate the instability in a self-exciting regime-switchingautoregressive model that is locally stable in each of its regimes respectively. It turnsout that the stability locally in each of the regimes is not sufficient to guarantee thestability of the model. The mechanism...

In this paper, we consider the stability in regime-switching autoregressive models. Applying the concept of joint spectral radius to the regime-switching systems we provide a sufficient condition for the stationarity and the ergodicity of the regime-switching autoregressive models

This tutorial provides an introduction to Bayesian modeling and Markov Chain Monte-Carlo (MCMC) algorithms including the Metropolis-Hastings and Gibbs Sampling algorithms. We discuss some of the challenges associated with running MCMC including the important question of determining when...

This paper presents the logarithmic stochastic tracing procedure, a homotopy method for the computation and selection of stationary equilibria of any finite discounted stochastic game. It generalizes both the logarithmic tracing procedure (Harsanyi and Selten, 1988), which is defined only for...

The experience of the Asian currency and financial crisis in the years 1997-8 encouraged economists to develop some open economy nonlinear macro models. Such models allow for nonlinearities – studying the effects of contractionary currency devaluation in contrast to the standard model of...

This paper studies the identification problem in infinite horizon Markovian games and proposes a generally applicable estimation method. Every period firms simultaneously select an action from a finite set. We characterize the set of Markov equilibria. Period profits are a linear function of...

Hidden Markov models (HMMs) are used to study language, sleep, and other processes that reflect probabilistic transitions between states that cannot be observed directly. We apply HMMs to data from experiments on visual location games. In these games, people choose a pixel from an image. They...

With the rapid development of mobile technology and consumers’ increasing demand for portability, the mobile gaming market has experienced huge growth. To ensure the success of mobile games, game publishers need to keep their players engaged and, at the same time, seek monetization strategies...