The extended switching regression model: Allowing for multiple latent state variables

Journal of Forecasting

Volumn 26, Issue 7, 2007, Pages 457-473

  Preminger, Arie ^a   Ben Zion, Uri ^b   Wettstein, David ^b,c  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b BEN GURION UNIVERSITY OF THE NEGEV   (Israel)

^c BOCCONI UNIVERSITY   (Italy)

Author keywords

Algorithm; Extended switching regression model; Forecast combining

Indexed keywords

ALGORITHMS; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; PARAMETER ESTIMATION; REGRESSION ANALYSIS;

EXTENDED SWITCHING REGRESSION (ESR) MODEL; FORECAST COMBINING; MODEL PARAMETERS; STATE VARIABLES;

SWITCHING FUNCTIONS;

EID: 36849053512     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1008     Document Type: Article

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