Multiregime Dynamics: Modeling and Statistical Tools
Juan Gabriel Brida
Free University of Bolzano
Lionello F. Punzo
University of Siena - Department of Economics
Brazilian Journal of Business Economics - BJBE (Revista Brasileira de Economia de Empresas - RBEE), Vol. 8, No. 1, pp. 15-28, 2008
In this paper we introduce the formalism and terminology of multiregime dynamics for both theoretical modeling and data analysis. Coding is proposed as the appropriate tool for the analysis of such special type of dynamics, focussing upon switches between suitably defined dynamical regimes. Individually taken these switches often represent abrupt alterations in the qualitative features of the dynamic process. At times, however, they seem to be stringed together to show emerging (near) regularities and fluctuations. This opens new vistas upon applications to the analysis of the vector time series of socioeconomic models. In empirical applications, coding involves transformation of data into a sequence of symbols that is then analyzed with information-theoretic tools, so as to extract information about generating processes.
Number of Pages in PDF File: 21
Keywords: Dynamic regimes, coded dynamics
JEL Classification: C10, C40, C60, C65Accepted Paper Series
Date posted: February 7, 2006 ; Last revised: June 5, 2011
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