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Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching

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  • Zacharias Psaradakis
  • Nicola Spagnolo

Abstract

. 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.

Suggested Citation

  • Zacharias Psaradakis & Nicola Spagnolo, 2006. "Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 753-766, September.
    • Handle: RePEc:bla:jtsera:v:27:y:2006:i:5:p:753-766
    DOI: 10.1111/j.1467-9892.2006.00487.x
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    References listed on IDEAS

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    1. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, April.
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