Supplementary Appendix to Autoregressive Moving Average Infinite Hidden Markov-Switching Models
17 Pages Posted: 11 May 2017
Date Written: October 20, 2015
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
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