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
Date Written: Febraury 2006
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
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