Abstract
In many real phenomena the behaviour of a certain variable, subject to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a particular multivariate Markov switching model is developed to represent this case. The transition probabilities of this model are characterized by the dependence on the regime of the other variables. The estimation of the transition probabilities provides useful information for the researcher to forecast the regime of the variables analysed. Theoretical background and an application are shown. Copyright © 2005 John Wiley & Sons, Ltd.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
