Supplementary Appendix to Autoregressive Moving Average Infinite Hidden Markov-Switching Models

17 Pages Posted: 11 May 2017

See all articles by Luc Bauwens

Luc Bauwens

Université catholique de Louvain

Jean-Francois Carpantier

Universite du Luxembourg

Arnaud Dufays

Université catholique de Louvain, CORE

Date Written: October 20, 2015

Abstract

This Appendix contains additional empirical results with respect to the published article. In Section 1, the posterior results for the HDP parameters of the IHMS- ARMA models are presented for the U.S. GDP growth rate and inflation series. In Section 2, we report additional in-sample and forecasting results for the same series. In Section 3, some results for a different truncation choice of the number of regimes in the approximate model are reported.

Full paper available at: https://ssrn.com/abstract=2965441

Suggested Citation

Bauwens, Luc and Carpantier, Jean-Francois and Dufays, Arnaud, Supplementary Appendix to Autoregressive Moving Average Infinite Hidden Markov-Switching Models (October 20, 2015). Available at SSRN: https://ssrn.com/abstract=2965668 or http://dx.doi.org/10.2139/ssrn.2965668

Luc Bauwens (Contact Author)

Université catholique de Louvain ( email )

CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
32 10 474321 (Phone)
32 10 474301 (Fax)

Jean-Francois Carpantier

Universite du Luxembourg ( email )

L-1511 Luxembourg
Luxembourg
00324666446305 (Phone)

HOME PAGE: http://https://sites.google.com/site/econojfc/

Arnaud Dufays

Université catholique de Louvain, CORE ( email )

Place Montesquieu, 3
Louvain-la-Neuve, 1348
Belgium

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