Isogai, Akifumi; Kanoh, Satoru; Tokunaga, Toshifumi - Institute of Economic Research, Hitotsubashi University - 2004
This paper attempts to extend the Markov-switching model with time-varying tansition probabilities(TVTP). The tansition probabilities in the conventional TVTP model are functions of exogenous variables that are time-dependent but with constant coefficients. In this paper the coefficient...
