Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
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DOI: 10.1016/j.econlet.2018.06.009
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More about this item
Keywords
Conditional mean model; Markov-switching; Factorial hidden Markov model; Multifractal;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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