Titlebook: Markov-Switching Vector Autoregressions; Modelling, Statistic Hans-Martin Krolzig Book 1997 Springer-Verlag Berlin Heidelberg 1997 business

Systole

书目名称Markov-Switching Vector Autoregressions影响因子(影响力)




书目名称Markov-Switching Vector Autoregressions影响因子(影响力)学科排名




书目名称Markov-Switching Vector Autoregressions网络公开度




书目名称Markov-Switching Vector Autoregressions网络公开度学科排名




书目名称Markov-Switching Vector Autoregressions被引频次




书目名称Markov-Switching Vector Autoregressions被引频次学科排名




书目名称Markov-Switching Vector Autoregressions年度引用




书目名称Markov-Switching Vector Autoregressions年度引用学科排名




书目名称Markov-Switching Vector Autoregressions读者反馈




书目名称Markov-Switching Vector Autoregressions读者反馈学科排名

STAT

The Markov-Switching Vector Autoregressive Model,e fundamental assumptions constituting this class of models. The discussion of the two components of MS-VAR processes will clarify their on time invariant vector auto-regressive and Markov-chain models. Some basic stochastic properties of MS-VAR processes are presented in .. Finally, MS-VAR models a

开头

不法行为

条街道往前推

The BLHK Filter,ilities. In the MS-VAR model the state vector .. is given a structural interpretation. Thus an inference on this unobserved variable is of interest for its own sake. However, the filtered and smoothed state probabilities provide not only information about the regime at time ., but also open the way

无法取消

Maximum Likelihood Estimation,he maximum likelihood estimation of the parameters . of an MS-VAR model is considered. The aim of this chapter is (i.) to provide the reader with an introduction to the methodological issues of ML estimation of MS-VAR models in general, (ii.) to propose with the EM algorithm an estimation technique

畏缩

Model Selection and Model Checking,olved questions arising in empirical investigations with MS-VAR models concern the issue of model specification. In . we discussed the asymptotic distribution of the maximum likelihood estimator of MS-VAR models. In the literature (cf. .. [1993]) it has been . that standard asymptotic theory holds:.

Forage饲料

颂扬国家

Comparative Analysis of Parameter Estimation in Particular MS-VAR Models,and its conceptional differences to the EM algorithm have been discussed. In this chapter, we will focus on the technical aspects of estimation of the VAR coefficients under the various types of restrictions..

Enteropathic

Extensions of the Basic MS-VAR Model, system is autonomous, .. no exogenous variables enter into the system, (ii.) the regime-dependent parameters depend only on the actual regime but not on the former history, and (iii.) the hidden Markov chain is homogeneous, .. the transition probabilities are time-invariant. As we have seen in the