Switching state-space models likelihood function, filtering and smoothing

Journal of Statistical Planning and Inference

Volumn 68, Issue 1, 1998, Pages 65-103

  Billio, Monica ^b   Monfort, Alain ^a  

^a CREST   (France)

^b NONE

Author keywords

Importance sampling techniques; Partial kalman filter and smoother; Sequential optimal sampler; Simulated maximum likelihood method; State space model; Switching model

Indexed keywords

EID: 0032063451     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-3758(97)00136-5     Document Type: Article

References (27)

1. Cai, J., 1994. A Markov model of switching-regime ARCH. J. Business Econom. Statist. 123, 309-316.
2. Clark, P., 1970. A subordinated stochastic process model of cotton futures prices, Ph.D. Dissertation. Harvard University.
3. Danielsson, J., 1994. Stochastic volatility in asset prices: estimation with simulated maximum likelihood. J. Econometrics 64, 375-400.
4. Danielsson, J., Richard, J.F., 1993. Accelerated Gaussian importance sampler with application to dynamic latent variable models. J. Appl. Econometrics 8, S153-S174.
5. Diebold, F.X., Rudebusch, G.D., 1994. Measuring business cycles: a modern perspective, NBER Working paper No. 4643.
6. Filardo, A.J., 1994. Business-cycle phases and their transitional dynamics. J. Business Econom. Statist. 123, 299-307.
7. Ghysels, E., 1994. On the periodic structure of the business cycle. J. Business and Econom. Statist. 123, 289-299.
8. Ghysets, E., Gouriéroux, C., Jasiak, J., 1995. Market time and asset price movements theory and estimation. Manuscript.
9. Ghysels, E., Jasiak, J., 1993. Stochastic volatility and time deformation: an application of trading volume and leverage effects. Discussion Paper, CRDE, Montreal.
10. Goldefeld, S.M., Quandt, R.E., 1973. A Markov model for switching regressions. J. Econometrics 1, 3-15.
11. Hamilton, J.D., 1988. Rational-expectations econometric analysis of changes in regime: an investigation of the term structure of interest rates. J. Econom. Dyn. Control 12, 385-423.
12. Hamilton, J.D., 1989, A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57 (2), 357-384.
13. Hamilton, J.D., 1990. Analysis of time series subject to changes in regime. J. Econometrics 45, 39-70.
14. Hamilton, J.D., 1993. State-space models. In: Engle, R., McFadden, D. (Eds.), Handbook of Econometrics. Vol. 4.
15. Hamilton, J.D., Susmel, R., 1993. Autoregressive Conditional Heteroscedasticity and Changes in Regimes. University of San Diego, D.P. pp. n.93-28.
16. Hendry, D.F., Richard, J.F., 1992. Dynamic latent variable models: Monte Carlo likelihood evaluation. In: Amman, H.M., Belsely, D.A., Pau, C.F. (Eds.), Computational Econom. Econometrics. Kluwer, Amsterdam.
17. Kim, C.J., 1993. Unobserved-component time series models with Markov-switching heteroscedasticity: changes in regime and the link between inflation rates and inflation uncertainty. J. Business Econom. Statist. 113, 341-349.
18. Kim, C.J., 1994. Dynamic linear models with Markov-switching. J. Econometrics 60, 1-22.
19. Kitagawa, G., 1987. Non-Gaussian state-space modeling of nonstationary time series. J. Amer. Statist. Assoc. 82, 1032-1063.
20. Lam, P.S., 1990. The Hamilton model with a general autoregressive component. J. Monetary Econom. 26, 409-432.
21. Lee, L.F., 1997. Simulation estimation of dynamic switching regression and dynamic disequilibrium models: some Monte Carlo results. J. Econometrics 78, 179-204.
22. Mandelbrot, B., Taylor, H., 1967. On the distribution of stock prices differences. Oper. Res. 15, 1057-1062.
23. McCullouch, R.E., Tsay, R.S., 1994. Statistical analysis of economic time series via Markov switching models. J. Time Ser. Anal. 155, 523-539.
24. Rockinger, M., 1995. Switching regressions of unexpected macroeconomic event explaining the French stock index. Manuscript HEC School of Management, Paris.
25. Shephard, N., 1994. Partial non-Gaussian state space. Biometrika 81 (1), 115-131.
26. Shumway, R.H., Stoffer, D.S., 1991. Dynamic linear models with switching, J. Amer. Statist. Assoc. 86/415, 763-769.
27. Sola, M., Driffill, J., 1994. Testing the term structure of interest rates using a stationary vector autoregression with regime switching. J. Econom. Dyn. and Control 18, 601-628.