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Author : Jing Zhang
Publisher :
ISBN 13 :
Total Pages : 158 pages
Book Rating : 4.:/5 (187 download)
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:
Author : Silvia Chiappa
Publisher : Now Pub
ISBN 13 : 9781601988300
Total Pages : 102 pages
Book Rating : 4.9/5 (883 download)
Download or read book Explicit-Duration Markov Switching Models written by Silvia Chiappa and published by Now Pub. This book was released on 2014-12-19 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a simple and clear description of explicit duration modeling. The presentation focuses on making distinctions that help structure the space of models and in laying out inference and learning in a clear way. It is an ideal reference for students and researchers wishing to learn about these models and those looking to develop them further.
Author : Aaron Smith
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Markov-Switching Model Selection Using Kullback-Leibler Divergence written by Aaron Smith and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Markov-switching regression models, we use Kullback-Leibler (KL) divergence between the true and candidate models to select the number of states and variables simultaneously. In applying Akaike information criterion (AIC), which is an estimate of KL divergence, we find that AIC retains too many states and variables in the model. Hence, we derive a new information criterion, Markov switching criterion (MSC), which yields a marked improvement in state determination and variable selection because it imposes an appropriate penalty to mitigate the over-retention of states in the Markov chain. MSC performs well in Monte Carlo studies with single and multiple states, small and large samples, and low and high noise. Furthermore, it not only applies to Markov-switching regression models, but also performs well in Markov-switching autoregression models. Finally, the usefulness of MSC is illustrated via applications to the U.S. business cycle and the effectiveness of media advertising.
Author :
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (249 download)
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:
Author : Hans-Martin Krolzig
Publisher : Springer Science & Business Media
ISBN 13 : 364251684X
Total Pages : 369 pages
Book Rating : 4.6/5 (425 download)
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.
Author : Sylvia Frühwirth-Schnatter
Publisher : Springer Science & Business Media
ISBN 13 : 0387357688
Total Pages : 506 pages
Book Rating : 4.3/5 (873 download)
Download or read book Finite Mixture and Markov Switching Models written by Sylvia Frühwirth-Schnatter and published by Springer Science & Business Media. This book was released on 2006-11-24 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past decade has seen powerful new computational tools for modeling which combine a Bayesian approach with recent Monte simulation techniques based on Markov chains. This book is the first to offer a systematic presentation of the Bayesian perspective of finite mixture modelling. The book is designed to show finite mixture and Markov switching models are formulated, what structures they imply on the data, their potential uses, and how they are estimated. Presenting its concepts informally without sacrificing mathematical correctness, it will serve a wide readership including statisticians as well as biologists, economists, engineers, financial and market researchers.
Author : Steven Durlauf
Publisher : Springer
ISBN 13 : 0230280838
Total Pages : 417 pages
Book Rating : 4.2/5 (32 download)
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author : W.R. Gilks
Publisher : CRC Press
ISBN 13 : 1482214970
Total Pages : 505 pages
Book Rating : 4.4/5 (822 download)
Download or read book Markov Chain Monte Carlo in Practice written by W.R. Gilks and published by CRC Press. This book was released on 1995-12-01 with total page 505 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a family study of breast cancer, epidemiologists in Southern California increase the power for detecting a gene-environment interaction. In Gambia, a study helps a vaccination program reduce the incidence of Hepatitis B carriage. Archaeologists in Austria place a Bronze Age site in its true temporal location on the calendar scale. And in France,
Author : Zacharias Psaradakis
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Joint Determination of the State Dimension and Autoregressive Order for Models With Markov Regime Switching written by Zacharias Psaradakis and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is concerned with the problem of joint determination of the state dimension and autoregressive order of models with Markov-switching parameters. A model selection procedure is proposed which is based on optimization of complexity-penalized likelihood criteria. The efficacy of the procedure is evaluated by means of Monte Carlo experiments.
Author : Jing Zhang
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (392 download)
Download or read book Autocovariance Structure of Markov Regime Switching Models and Model Selection written by Jing Zhang and published by . This book was released on 1997 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James D. Hamilton
Publisher : Springer Science & Business Media
ISBN 13 : 3642511821
Total Pages : 267 pages
Book Rating : 4.6/5 (425 download)
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.
Author : Nicola Spagnolo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (594 download)
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:
Author : Tomohiro Ando
Publisher : CRC Press
ISBN 13 : 9781439836156
Total Pages : 300 pages
Book Rating : 4.8/5 (361 download)
Download or read book Bayesian Model Selection and Statistical Modeling written by Tomohiro Ando and published by CRC Press. This book was released on 2010-05-27 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: Along with many practical applications, Bayesian Model Selection and Statistical Modeling presents an array of Bayesian inference and model selection procedures. It thoroughly explains the concepts, illustrates the derivations of various Bayesian model selection criteria through examples, and provides R code for implementation. The author shows how to implement a variety of Bayesian inference using R and sampling methods, such as Markov chain Monte Carlo. He covers the different types of simulation-based Bayesian model selection criteria, including the numerical calculation of Bayes factors, the Bayesian predictive information criterion, and the deviance information criterion. He also provides a theoretical basis for the analysis of these criteria. In addition, the author discusses how Bayesian model averaging can simultaneously treat both model and parameter uncertainties. Selecting and constructing the appropriate statistical model significantly affect the quality of results in decision making, forecasting, stochastic structure explorations, and other problems. Helping you choose the right Bayesian model, this book focuses on the framework for Bayesian model selection and includes practical examples of model selection criteria.
Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)
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.
Author : Walter Zucchini
Publisher : CRC Press
ISBN 13 : 1482253844
Total Pages : 370 pages
Book Rating : 4.4/5 (822 download)
Download or read book Hidden Markov Models for Time Series written by Walter Zucchini and published by CRC Press. This book was released on 2017-12-19 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses. After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations. The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations. Features Presents an accessible overview of HMMs Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology Includes numerous theoretical and programming exercises Provides most of the analysed data sets online New to the second edition A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process New case studies on animal movement, rainfall occurrence and capture-recapture data
Author : Chang-Jin Kim
Publisher : Mit Press
ISBN 13 : 9780262112383
Total Pages : 297 pages
Book Rating : 4.1/5 (123 download)
Download or read book State-space Models with Regime Switching written by Chang-Jin Kim and published by Mit Press. This book was released on 1999 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.
Author : Woojae Kim
Publisher :
ISBN 13 :
Total Pages : 290 pages
Book Rating : 4.:/5 (544 download)
Download or read book Applications of Markov Chain Monte Carlo in MDL-based Model Selection written by Woojae Kim and published by . This book was released on 2002 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt:
