Joint Determination of the State Dimension and Autoregressive Order for Models With Markov Regime Switching
14 Pages Posted: 22 Mar 2007
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: 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
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Joint Determination of the State Dimension and Autoregressive Order for Models With Markov Regime Switching
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