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Markov Switching Midas Models
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Book Synopsis Markov-switching MIDAS Models by : Pierre Guérin
Download or read book Markov-switching MIDAS Models written by Pierre Guérin and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of estimation and inference for MS-MIDAS, and a small sample simulation based evaluation, the MS-MIDAS model is applied to the prediction of the US and UK economic activity, in terms both of quantitative forecasts of the aggregate economic activity and of the prediction of the business cycle regimes. Both simulation and empirical results indicate that MSMIDAS is a very useful specification.
Book Synopsis Advances in Markov-Switching Models by : James D. Hamilton
Download or read book Advances in Markov-Switching Models written by James D. Hamilton and published by Physica. This book was released on 2013-01-19 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
Book Synopsis Explicit-duration Markov Switching Models by : Silvia Chiappa
Download or read book Explicit-duration Markov Switching Models written by Silvia Chiappa and published by . This book was released on 2014 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov switching models (MSMs) are probabilistic models that employ multiple sets of parameters to describe different dynamic regimes that a time series may exhibit at different periods of time. The switching mechanism between regimes is controlled by unobserved random variables that form a first-order Markov chain. Explicit-duration MSMs contain additional variables that explicitly model the distribution of time spent in each regime. This allows to define duration distributions of any form, but also to impose complex dependence between the observations and to reset the dynamics to initial conditions. Models that focus on the first two properties are most commonly known as hidden semi-Markov models or segment models, whilst models that focus on the third property are most commonly known as changepoint models or reset models. In this monograph, we provide a description of explicit-duration modelling by categorizing the different approaches into three groups, which differ in encoding in the explicit-duration variables different information about regime change/reset boundaries. The approaches are described using the formalism of graphical models, which allows to graphically represent and assess statistical dependence and therefore to easily describe the structure of complex models and derive inference routines. The presentation is intended to be pedagogical, focusing on providing a characterization of the three groups in terms of model structure constraints and inference properties. The monograph is supplemented with a software package that contains most of the models and examples described. The material presented should be useful to both researchers wishing to learn about these models and researchers wishing to develop them further.
Book Synopsis Analytical Derivatives for Markov Switching Models by : Jeff Gable
Download or read book Analytical Derivatives for Markov Switching Models written by Jeff Gable and published by . This book was released on 1995 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov-switching Mixed-frequency VAR Models by : Claudia Foroni
Download or read book Markov-switching Mixed-frequency VAR Models written by Claudia Foroni and published by . This book was released on 2014 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments. Finally, the MSMF-VAR model is applied to predict GDP growth and business cycle turning points in the euro area. Its performance is compared with that of a number of competing models, including linear and regime switching mixed data sampling (MIDAS) models. The results suggest that MSMF-VAR models are particularly useful to estimate the status of economic activity.
Book Synopsis Incorporating Vintage Differences and Forecasts Into Markov Switching Models by : Jeremy Nalewaik
Download or read book Incorporating Vintage Differences and Forecasts Into Markov Switching Models written by Jeremy Nalewaik and published by . This book was released on 2007 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Forecasts from Markov Switching Models by : Tom Boot
Download or read book Optimal Forecasts from Markov Switching Models written by Tom Boot and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov-switching Model by : Chong Yong Lee
Download or read book Markov-switching Model written by Chong Yong Lee and published by . This book was released on 2000 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Basic Recursion for Markov Switching Models by : Lung-Fei Lee
Download or read book A Basic Recursion for Markov Switching Models written by Lung-Fei Lee and published by . This book was released on 1995 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling and Estimation of Synchronization in Multistate Markov-switching Models by : Cem Cakmakli
Download or read book Modeling and Estimation of Synchronization in Multistate Markov-switching Models written by Cem Cakmakli and published by . This book was released on 2011 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Possible Shapes of Recoveries in Markov-switching Models by : Frédérique Bec
Download or read book The Possible Shapes of Recoveries in Markov-switching Models written by Frédérique Bec and published by . This book was released on 2011 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling and Estimation of Synchronisation in Multistate Markov-switching Models by : Çem Cakmakli
Download or read book Modeling and Estimation of Synchronisation in Multistate Markov-switching Models written by Çem Cakmakli and published by . This book was released on 2011 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Model Selection and Some Extensions of Markov Switching Models by : Jing Zhang
Download or read book Model Selection and Some Extensions of Markov Switching Models written by Jing Zhang and published by . This book was released on 1998 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Applied Economic Forecasting Using Time Series Methods by : Eric Ghysels
Download or read book Applied Economic Forecasting Using Time Series Methods written by Eric Ghysels and published by Oxford University Press. This book was released on 2018 with total page 617 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting.
Book Synopsis Moments of Markov Switching Models by : Allan Timmermann
Download or read book Moments of Markov Switching Models written by Allan Timmermann and published by . This book was released on 1999 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis MS_Regress - The MATLAB Package for Markov Regime Switching Models by : Marcelo Perlin
Download or read book MS_Regress - The MATLAB Package for Markov Regime Switching Models written by Marcelo Perlin and published by . This book was released on 2015 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov state switching models are a type of specification which allows for the transition of states as an intrinsic property of the econometric model. Such type of statistical representations are well known and utilized in different problems in the field of economics and finance. This paper gives an overview of MS_Regress, a Matlab toolbox specially designed for the estimation, simulation and forecasting of a general markov regime switching model. The package was written in an intuitive manner so that the user have at its reach a large number of different markov switching specifications, without any change in the original code. This document introduces the main functionality of the package with the help of several empirical examples.
Book Synopsis Panel Markov-switching Models of Economic Phenomena by : Paul Victor Hamilton
Download or read book Panel Markov-switching Models of Economic Phenomena written by Paul Victor Hamilton and published by . This book was released on 2002 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt:
