Joint determination of the state dimension and autoregressive order for models with Markov regime switching

Journal of Time Series Analysis

Volumn 27, Issue 5, 2006, Pages 753-766

  Psaradakis, Zacharias ^a   Spagnolo, Nicola ^b  

^a UNIVERSITY OF LONDON   (United Kingdom)

^b NONE

Author keywords

Complexity penalized likelihood criteria; Hidden Markov models; Markov switching models; Monte Carlo experiments

Indexed keywords

EID: 33746800202     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2006.00487.x     Document Type: Article

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