Joint Determination of the State Dimension and Autoregressive Order for Models With Markov Regime Switching

14 Pages Posted: 22 Mar 2007

See all articles by Zacharias Psaradakis

Zacharias Psaradakis

University of London - Economics, Mathematics and Statistics

Nicola Spagnolo

Brunel University London - Economics and Finance

Abstract

This paper is concerned with the problem of joint determination of the state dimension and autoregressive order of models with Markov-switching parameters. A model selection procedure is proposed which is based on optimization of complexity-penalized likelihood criteria. The efficacy of the procedure is evaluated by means of Monte Carlo experiments.

Suggested Citation

Psaradakis, Zacharias and Spagnolo, Nicola, Joint Determination of the State Dimension and Autoregressive Order for Models With Markov Regime Switching. Journal of Time Series Analysis, Vol. 27, No. 5, pp. 753-766, September 2006. Available at SSRN: https://ssrn.com/abstract=922176 or http://dx.doi.org/10.1111/j.1467-9892.2006.00487.x

Zacharias Psaradakis (Contact Author)

University of London - Economics, Mathematics and Statistics ( email )

7-15 Gresse Street
London, WC1E 7HX
United Kingdom
+44 20 7631 6415 (Phone)
+44 20 7631 6416 (Fax)

HOME PAGE: http://www.econ.bbk.ac.uk/faculty/psaradakis/

Nicola Spagnolo

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom

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