Estimation of Markov regime-switching regression models with endogenous switching

Journal of Econometrics

Volumn 143, Issue 2, 2008, Pages 263-273

  Kim, Chang Jin ^a,b   Piger, Jeremy ^c   Startz, Richard ^b  

^a Korea University   (South Korea)

^b UNIVERSITY OF WASHINGTON   (United States)

^c UNIVERSITY OF OREGON   (United States)

Author keywords

Endogeneity; Regime switching

Indexed keywords

ECONOMIC ANALYSIS; MARKOV PROCESSES; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD; REGRESSION ANALYSIS; TIME SERIES ANALYSIS;

NONSTATIONARY TIME SERIES; RECURSIVE FILTERS; REGIME-SWITCHING; STOCK MARKET;

SWITCHING;

EID: 38949145032     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.10.002     Document Type: Article

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