Bayesian Markov Regime-Switching Models for Cointegration

• 作者: Kai Cui Wenshan Cui
• 来源期刊: 应用数学(英文)
• 学科: 经济
• 关键词: COINTEGRATION REGIME-SWITCHING BAYESIAN MCMC
• 年，卷（期）: 2012,（12）
• 页码范围: 1892-1897
• 页数: 6页
• 分类号: F2

摘要

This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeling cointegration, the Bayesian Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable estimation. Inference of regime switching also provides important information for further analysis and decision making.