Discussion Papers no. 204
Change in regime and Markow models
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.
Om publikasjonen
- Tittel
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Change in regime and Markow models
- Ansvarlig
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Anders Rygh Swensen
- Serie og -nummer
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Discussion Papers no. 204
- Utgiver
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Statistics Norway, Research Department
- Emne
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Discussion Papers
- ISSN
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1892-753X
- Antall sider
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19
- Målform
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Engelsk
- Om Discussion Papers
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Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.
Kontakt
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