Time‐Varying Transition Probabilities for Markov Regime Switching Models

By M. Bazzi, Francisco Blasques, S. J. Koopman, André Lucas. 2017

106 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/923fe1ed2d68598b435239dd520572a5afd3ae97

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Yoosoon Chang
2. Joon Y. Park
3. Yongok Choi
4. Giuseppe Cavaliere
5. Alan M. Taylor
6. Martin Wagner
7. In Choi
8. Joakim Westerlund

In Management Science and Operations Research

1. Joon Y. Park
2. Yoosoon Chang

Citations in the corpus

• A new approach to model regime switching (2017, methodology): “In the literature on Bayesian regime switching models, Chib (1996), Chib and Dueker (2004), and Bazzi et al. (2014), among others, allow for endogenous Markov chains. See also Kang (2014), which extends Kim et al. (2008) to a general state space model using a Bayesian approach.”