Analysis of time series subject to changes in regime

Journal of Econometrics

Volumn 45, Issue 1-2, 1990, Pages 39-70

  Hamilton, James D ^a  

^a UNIVERSITY OF VIRGINIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 45149138487     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(90)90093-9     Document Type: Article

References (30)

1. A maximization technique occuring in the statistical analysis of probabilistic functions of Markov chains
2. The effect of changes in the federal funds rate target on market interest rates in the 1970's
3. Serial correlation in discrete variable models
4. Maximum likelihood from incomplete data via the EM algorithm
5. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
6. Permanent and temporary components of stock prices
7. A Markov model for switching regressions
8. Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates
9. A new approach to the economic analysis of nonstationary time series and the business cycle
10. Discrete parameter variation Efficient estimation of a switching regression model
11. A note on switching regressions and logistic discrimination
12. Specification testing when score statistics are identically zero
13. Maximum likelihood estimation for multivariate observations of Markov sources
14. Asset prices in an exchange economy
15. The Great Crash the oil price shock and the unit root hypothesis
16. Mean reversion in stock prices: Evidence and implications
17. The estimation of parameters of linear regression system obeying two separate regimes
18. Alternative algorithms for the estimation of dynamic factor, mimic, and varying coefficient regression models
19. Testing for regression coefficient stability with a stationary AR(1) alternative