A new approach to model regime switching

被引：40

作者：

Chang, Yoosoon ^{[1
]}

Choi, Yongok ^{[2
]}

Park, Joon Y. ^{[1
,3
]}

机构：

[1] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA

[2] Korea Dev Inst, Dept Financial Policy, Seoul, South Korea

[3] Sungkyunkwan Univ, Dept Econ, Seoul, South Korea

来源：

JOURNAL OF ECONOMETRICS | 2017年 / 196卷 / 01期

关键词：

Regime switching model; Latent factor; Endogeneity; Mean reversion; Leverage effect; Maximum likelihood estimation; Markov chain; ENDOGENOUS EXPLANATORY VARIABLES; TIME-SERIES; MARKOV;

D O I：

10.1016/j.jeconom.2016.09.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper introduces a new approach to model regime switching using an autoregressive latent factor, which determines regimes depending upon whether it takes a value above or below some threshold level. In our approach, the latent factor is allowed to be correlated with the innovation to the observed time series. If the latent factor becomes exogenous, our approach reduces to the conventional Markov switching. We develop a modified Markov switching filter to estimate the mean and volatility models with Markov switching that are frequently analyzed, and find that the presence of endogeneity in regime switching is indeed strong and ubiquitous. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：127 / 143

页数：17

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