MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARKOV MODEL

被引：38

作者：

Song, Yong ^{[1
,2
]}

机构：

[1] Univ Technol Sydney, Econ Discipline Grp, Sydney, NSW 2007, Australia

[2] Rimini Ctr Econ Anal, Rimini, Italy

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2014年 / 29卷 / 05期

关键词：

REAL INTEREST-RATE; TIME-SERIES; INFERENCE;

D O I：

10.1002/jae.2337

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes an infinite hidden Markov model to integrate the regime switching and structural break dynamics in a unified Bayesian framework. Two parallel hierarchical structures, one governing the transition probabilities and another governing the parameters of the conditional data density, keep the model parsimonious and improve forecasts. This flexible approach allows for regime persistence and estimates the number of states automatically. An application to US real interest rates compares the new model to existing parametric alternatives. Copyright (C) 2013 John Wiley & Sons, Ltd.

引用

页码：825 / 842

页数：18

共 29 条

[1] Regime switches in interest rates [J].

Ang, A ;

Bekaert, G .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2002, 20 (02) :163-182

[2]

[Anonymous], 2008, P 25 INT C MACHINE L

[3] Estimation and comparison of multiple change-point models [J].

Chib, S .

JOURNAL OF ECONOMETRICS, 1998, 86 (02) :221-241

[4] INFLATION REGIMES AND THE SOURCES OF INFLATION UNCERTAINTY [J].

EVANS, M ;

WACHTEL, P .

JOURNAL OF MONEY CREDIT AND BANKING, 1993, 25 (03) :475-511

[5]

FAMA EF, 1975, AM ECON REV, V65, P269

[6] BAYESIAN ANALYSIS OF SOME NONPARAMETRIC PROBLEMS [J].

FERGUSON, TS .

ANNALS OF STATISTICS, 1973, 1 (02) :209-230

[7] A STICKY HDP-HMM WITH APPLICATION TO SPEAKER DIARIZATION [J].

Fox, Emily B. ;

Sudderth, Erik B. ;

Jordan, Michael I. ;

Willsky, Alan S. .

ANNALS OF APPLIED STATISTICS, 2011, 5 (2A) :1020-1056

[8] Markov chain Monte Carlo estimation of classical and dynamic switching and mixture models [J].

Frühwirth-Schnatter, S .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2001, 96 (453) :194-209

[9] An analysis of the real interest rate under regime shifts [J].

Garcia, R ;

Perron, P .

REVIEW OF ECONOMICS AND STATISTICS, 1996, 78 (01) :111-125

[10] Interpretation and inference in mixture models: Simple MCMC works [J].

Geweke, John .

COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2007, 51 (07) :3529-3550

← 1 2 3 →