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Nonlinearity Testing Model Selection And Forecasting In The Prescence Of Markov Regime Switching
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Book Synopsis Nonlinearity Testing, Model Selection and Forecasting in the Prescence of Markov Regime Switching by : Nicola Spagnolo
Download or read book Nonlinearity Testing, Model Selection and Forecasting in the Prescence of Markov Regime Switching written by Nicola Spagnolo and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonlinearity Testing, Model Selection and Forecasting in the Presence of Markov Regime Switching by :
Download or read book Nonlinearity Testing, Model Selection and Forecasting in the Presence of Markov Regime Switching written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov-Switching Vector Autoregressions by : Hans-Martin Krolzig
Download or read book Markov-Switching Vector Autoregressions written by Hans-Martin Krolzig and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.
Book Synopsis Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate by : Márcio Poletti Laurini
Download or read book Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate written by Márcio Poletti Laurini and published by . This book was released on 2002 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing Under Non-Standard Conditions in Frequency Domain by : Roberto S. Mariano
Download or read book Testing Under Non-Standard Conditions in Frequency Domain written by Roberto S. Mariano and published by . This book was released on 2006 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose two test statistics in the frequency domain and derive their exact asymptotic null distributions under the condition of unidentified nuisance parameters. The proposed methods are particularly applicable in unobserved components models. Also, it is shown that the tests have considerable power when applied to a class of Markov regime switching models. We show that, after transforming the Markov regime switching model into the frequency domain representation we only have to face the issue of unidentified nuisance parameters in a nonlinear context. The singularity problem disappears. Compared to Hansen's (1992, 1996) LR-bound test of the same Markov regime switching model, our LM test performs better in terms of finite sample power, except in the special case of the Markov switching model in which the model becomes a Normal mixture model. Our test needs only a one-dimensional grid search while Hansen's (1992, 1996) test requires a three-dimensional grid search. The LM test is applied to Markov regime switching models of exchange rates and the Federal Funds rate. We used the same exchange rates data in Engel and Hamilton (1990). The null of random walk is not rejected in the exchange rates model. The null is rejected for the Federal Funds rate in subsample periods 1955:1-1979:9 and 1982:10-1995:11.
Book Synopsis Forecasting in the Presence of Structural Breaks and Model Uncertainty by : David E. Rapach
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Book Synopsis Non-Markovian Regime-Switching Models by : Chang-Jin Kim
Download or read book Non-Markovian Regime-Switching Models written by Chang-Jin Kim and published by . This book was released on 2018 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper revisits the non-Markovian regime switching model considered by Chib and Dueker (2004), who employ an autoregressive continuous latent variable in order to specify the dynamics of the latent regime-indicator variable. We show that, in spite of the non-Markovian nature of the regime indicator variable, the Markovian property of this continuous latent variable allows us to easily estimate the model within the Bayesian framework without any approximations. In particular, we show that the conventional Gibbs sampling is enough in generating the regime indicator variable as well as the continuous latent variable conditional on all the parameters of the model and data. For an application to business cycle modeling of postwar US real GDP, a modified version of Hamilton's (1989) Markovian switching model is slightly preferred to a non-Markovian switching model by the Bayesian model selection criterion. For an application to volatility modeling of the weekly stock return, a non-Markovian switching model with endogenous switching or the leverage effect is strongly preferred to Markovian switching models.
Book Synopsis Markov-Switching Vector Autoregressive Models by : Matthieu Droumaguet
Download or read book Markov-Switching Vector Autoregressive Models written by Matthieu Droumaguet and published by . This book was released on 2012 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation has for prime theme the exploration of nonlinear econometric models featuring a hidden Markov chain. Occasional and discrete shifts in regimes generate convenient nonlinear dynamics to econometric models, allowing for structural changes similar to the exogenous economic events occurring in reality. The first paper sets up a Monte Carlo experiment to explore the finite-sample properties of the estimates of vector autoregressive models subject to switches in regime governed by a hidden Markov chain. The main finding of this article is that the accuracy with which regimes are determined by the Expectation Maximixation algorithm shows improvement when the dimension of the simulated series increases. However this gain comes at the cost of higher sample size requirements for models with more variables. The second paper advocates the use of Bayesian impulse responses for a Markovswitching Vector Autoregressive model. These responses are sensitive to the Markovswitching properties of the model and, based on densities, allow statistical inference to be conducted. Upon the premise of structural changes occurring on oil markets, the empirical results of Kilan (2009) are reinvestigated. The effects of the structural shocks are characterized over four estimated regimes. Over time, the regime dynamics are evolving into more competitive oil markets, with the collapse of the OPEC. Finally, the third paper proposes a method of testing restrictions for Granger noncausality in mean, variance and distribution in the framework of Markov-switching VAR models. Due to the nonlinearity of the restrictions derived by Warne (2000), classical tests have limited use. Bayesian inference consists of a novel Block Metropolis-Hastings sampling algorithm for the estimation of the restricted models, and of standard methods of computing posterior odds ratios. The analysis may be applied to financial and macroeconomic time series with changes of parameter values over time and heteroskedasticity.
Book Synopsis Missing Data Methods by : David M. Drukker
Download or read book Missing Data Methods written by David M. Drukker and published by Emerald Group Publishing. This book was released on 2011-11-30 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.
Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Book Synopsis Nonlinear Time Series Analysis of Economic and Financial Data by : Philip Rothman
Download or read book Nonlinear Time Series Analysis of Economic and Financial Data written by Philip Rothman and published by Springer Science & Business Media. This book was released on 1999-01-31 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
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 Springer Science & Business Media. This book was released on 2013-06-29 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 Power Properties of Nonlinearity Tests for Time Series with Markov Regime by : Zacharias Psaradakis
Download or read book Power Properties of Nonlinearity Tests for Time Series with Markov Regime written by Zacharias Psaradakis and published by . This book was released on 1999 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Model Selection and Markov Switching by :
Download or read book On Model Selection and Markov Switching written by and published by . This book was released on 2004 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonlinear Time Series Analysis by : Ruey S. Tsay
Download or read book Nonlinear Time Series Analysis written by Ruey S. Tsay and published by John Wiley & Sons. This book was released on 2018-09-14 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis Nonlinear Time Series Analysis offers an important guide to both parametric and nonparametric methods, nonlinear state-space models, and Bayesian as well as classical approaches to nonlinear time series analysis. The authors—noted experts in the field—explore the advantages and limitations of the nonlinear models and methods and review the improvements upon linear time series models. The need for this book is based on the recent developments in nonlinear time series analysis, statistical learning, dynamic systems and advanced computational methods. Parametric and nonparametric methods and nonlinear and non-Gaussian state space models provide a much wider range of tools for time series analysis. In addition, advances in computing and data collection have made available large data sets and high-frequency data. These new data make it not only feasible, but also necessary to take into consideration the nonlinearity embedded in most real-world time series. This vital guide: • Offers research developed by leading scholars of time series analysis • Presents R commands making it possible to reproduce all the analyses included in the text • Contains real-world examples throughout the book • Recommends exercises to test understanding of material presented • Includes an instructor solutions manual and companion website Written for students, researchers, and practitioners who are interested in exploring nonlinearity in time series, Nonlinear Time Series Analysis offers a comprehensive text that explores the advantages and limitations of the nonlinear models and methods and demonstrates the improvements upon linear time series models.
Book Synopsis Recent Advances in Estimating Nonlinear Models by : Jun Ma
Download or read book Recent Advances in Estimating Nonlinear Models written by Jun Ma and published by Springer Science & Business Media. This book was released on 2013-09-24 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics. Incorporating these concepts involves deriving and estimating nonlinear time series models, and these have typically taken the form of Threshold Autoregression (TAR) models, Exponential Smooth Transition (ESTAR) models, and Markov Switching (MS) models, among several others. This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. It features cutting-edge research from leading academics in economics, finance, and business management, and will focus on such topics as Zero-Information-Limit-Conditions, using Markov Switching Models to analyze economics series, and how best to distinguish between competing nonlinear models. Principles and techniques in this book will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.
Book Synopsis Power Properties on Nonlinearity Tests for Time Series with Markov Regime by : Zacharias Psaradakis
Download or read book Power Properties on Nonlinearity Tests for Time Series with Markov Regime written by Zacharias Psaradakis and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
