Autocovariance Structure of Markov Regime Switching Models and Model Selection

By Jing Zhang, Robert A. Stine. 2001

51 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/e5500edeefe22d7f77fb778470dc15b730d14f0f

How researchers see this paper

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

In Control and Systems Engineering

1. Nicola Spagnolo
2. Zacharias Psaradakis
3. Massimiliano Marcellino
4. Pierre Guérin

In Statistics and Probability

1. Zacharias Psaradakis
2. Nicola Spagnolo
3. Shiu‐Sheng Chen
4. Julien Chevallier
5. Massimo Guidolin
6. Matthew Brigida
7. Pierre Guérin
8. Massimiliano Marcellino

Citations in the corpus

• Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching (2006, background): “These authors also examined an alternative approach which advocates estimation of a lower bound for the state dimension based on the autoregressive moving average (ARMA) representation that a stationary Markov-switching autoregressive process admits (see also Zhang and Stine, 2001).”
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS (2002, methodology): “The results in Zhang and Stine (2001) imply that a weakly stationary process satisfying an MSAR(r, m) model admits an ARMA(p, q) representation with p 6 rm2 and q 6 rm2)1.”