Change in Regime and Markov Models
dc.contributor.author | Swensen, Anders Rygh | |
dc.coverage.spatial | Norway | nb_NO |
dc.date.accessioned | 2019-11-14T08:21:33Z | |
dc.date.available | 2019-11-14T08:21:33Z | |
dc.date.issued | 1997-11 | |
dc.identifier.issn | 0809-733X | |
dc.identifier.uri | http://hdl.handle.net/11250/2628418 | |
dc.description.abstract | In this paper we point out that using a two-state Markov chain to describe change in regime makes it difficult to interpret the model since there is a bias towards frequent shifts. However, by using a finite Markov chain with a transition matrix satisfying certain restrictions it is possible to circumvent the difficulty and at the same time use the established procedures for estimation and filtering. The methods are applied to a couple of time series from the Norwegian quarterly national accounts. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Statistisk sentralbyrå | nb_NO |
dc.relation.ispartofseries | Discussion papers;204 | |
dc.subject | JEL classification: C22 | nb_NO |
dc.subject | JEL classification: E32 | nb_NO |
dc.title | Change in Regime and Markov Models | nb_NO |
dc.type | Working paper | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.subject.nsi | VDP::Matematikk og Naturvitenskap: 400::Matematikk: 410::Statistikk: 412 | nb_NO |
dc.source.pagenumber | 19 | nb_NO |
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Discussion Papers [1002]