Markov-switching model selection using Kullback-Leibler divergence

Journal of Econometrics

Volumn 134, Issue 2, 2006, Pages 553-577

  Smith, Aaron ^a   Naik, Prasad A ^a   Tsai, Chih Ling ^a,b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b Peking University   (China)

Author keywords

Advertising effectiveness; Business cycles; EM algorithm; Hidden Markov models; Information criterion; Markov switching regression.

Indexed keywords

INFORMATION THEORY; MARKETING; MARKOV PROCESSES; MATHEMATICAL MODELS; MONTE CARLO METHODS; SPURIOUS SIGNAL NOISE; SWITCHING;

ADVERTISING EFFECTIVENESS; BUSINESS CYCLES; EM ALGORITHMS; HIDDEN MARKOV MODELS; INFORMATION CRITERION; MARKOV SWITCHING REGRESSION;

REGRESSION ANALYSIS;

EID: 33747888377     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.07.005     Document Type: Article

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