Multiregime Dynamics: Modeling and Statistical Tools

Brazilian Journal of Business Economics - BJBE (Revista Brasileira de Economia de Empresas - RBEE), Vol. 8, No. 1, pp. 15-28, 2008

21 Pages Posted: 7 Feb 2006 Last revised: 6 Mar 2018

See all articles by Juan Gabriel Brida

Juan Gabriel Brida

Universidad de la República

Lionello F. Punzo

Dept of Economics and Statistics; INCT/PPED

Date Written: Febraury 2006

Abstract

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.

Keywords: Dynamic regimes, coded dynamics

JEL Classification: C10, C40, C60, C65

Suggested Citation

Brida, Juan Gabriel and Punzo, Lionello F., Multiregime Dynamics: Modeling and Statistical Tools (Febraury 2006). Brazilian Journal of Business Economics - BJBE (Revista Brasileira de Economia de Empresas - RBEE), Vol. 8, No. 1, pp. 15-28, 2008. Available at SSRN: https://ssrn.com/abstract=881519

Juan Gabriel Brida (Contact Author)

Universidad de la República ( email )

Av. 18 de Julio
Montevideo, 1968
Uruguay

Lionello F. Punzo

Dept of Economics and Statistics ( email )

Piazza S. Francesco, 7
Siena, I-53100
Italy
+390577232620 (Phone)
+390577232661 (Fax)

INCT/PPED ( email )

Av; Pasteur, 250
terreo - Bairro Maracana
Rio de Janeiro, Rio de Janeiro 23890000
Brazil

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