Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities
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Cited by:
- Marie Bessec, 2019.
"Revisiting the transitional dynamics of business cycle phases with mixed-frequency data,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(7), pages 711-732, August.
- Marie Bessec, 2016. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Working Papers hal-01358595, HAL.
- Marie Bessec, 2019. "Revisiting the transitional dynamics of business-cycle phases with mixed-frequency data," Post-Print hal-02181552, HAL.
- Khayat, Guillaume A., 2018. "The impact of setting negative policy rates on banking flows and exchange rates," Economic Modelling, Elsevier, vol. 68(C), pages 1-10.
- Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2022.
"Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities,"
Econometrica, Econometric Society, vol. 90(4), pages 1681-1710, July.
- Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016. "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Papers 1612.04932, arXiv.org, revised Dec 2021.
- Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2021. "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2021_07, Universidad Torcuato Di Tella.
- Psaradakis, Zacharias & Sola, Martin, 2024.
"Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities,"
Econometrics and Statistics, Elsevier, vol. 29(C), pages 49-63.
- Martín Sola & Zacharias Psaradakis, 2017. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Department of Economics Working Papers 2017_01, Universidad Torcuato Di Tella.
- Zacharias Psaradakis & Martin Sola, 2017. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Birkbeck Working Papers in Economics and Finance 1702, Birkbeck, Department of Economics, Mathematics & Statistics.
- Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016. "Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes," Department of Economics Working Papers 2016_04, Universidad Torcuato Di Tella.
- Marie Bessec, 2015. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Post-Print hal-01276824, HAL.
- repec:dau:papers:123456789/15246 is not listed on IDEAS
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Keywords
Markov switching; Monte Carlo experiments; Time-varying transition probabilities.;All these keywords.
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