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Título: | Inference on filtered and smoothed probabilities in Markov-switching autoregressive models |
Fecha de publicación: | 22-may-2018 |
Editorial: | Taylor & Francis Group |
Cita bibliográfica: | Journal of Business and Economic Statistics; 37 (3). Pags 484-495 |
ISSN: | 1537-2707 |
Materias relacionadas: | CDU::3 - Ciencias sociales |
Palabras clave: | Markov Switching Business cycles Time Series |
Resumen: | We derive a statistical theory that provides useful asymptotic approximations to the distributions of the single inferences of filtered and smoothed probabilities, derived from time series characterized by Markov-switching dynamics. We show that the uncertainty in these probabilities diminishes when the states are separated, the variance of the shocks is low, and the time series or the regimes are persistent. As empirical illustrations of our approach, we analyze the U.S. GDP growth rates and the U.S. real interest rates. For both models, we illustrate the usefulness of the confidence intervals when identifying the business cycle phases and the interest rate regimes. |
Autor/es principal/es: | Alvarez, Rocio Camacho, Maximo Ruiz, Manuel |
Facultad/Departamentos/Servicios: | Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU Métodos Cuantitativos para la Economía y la Empresa |
Versión del editor: | https://www.tandfonline.com/doi/full/10.1080/07350015.2017.1380032 |
URI: | http://hdl.handle.net/10201/137228 |
DOI: | https://doi.org/10.1080/07350015.2017.1380032 |
Tipo de documento: | info:eu-repo/semantics/article |
Número páginas / Extensión: | 26 |
Derechos: | info:eu-repo/semantics/openAccess Atribución-NoComercial 4.0 Internacional |
Descripción: | © 2018. The authors. This document is made available under the CC-BY-NC 4.0 license http://creativecommons.org/licenses/by-nc /4.0/ This document is the submitted version of a published work that appeared in final form in Journal of Business & Economic Statistics. |
Aparece en las colecciones: | Artículos: Métodos Cuantitativos para la Economía y la Empresa |
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Alvarez_Camacho_Ruiz (1).pdf | 489,42 kB | Adobe PDF | Visualizar/Abrir |
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