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