Transcription of LECTURE ON THE MARKOV SWITCHING MODEL
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LECTURE ON THE MARKOV SWITCHING MODEL
LECTURE ONTHE MARKOV SWITCHING MODELCHUNG-MING KUANI nstitute of EconomicsAcademia SinicaThis version: April 19, 2002c Chung-Ming Kuan (all rights reserved).Address for correspondence: Institute of Economics, Academia Sinica, Taipei 115, : URL: Introduction12 The MARKOV SWITCHING MODEL of Conditional A Simple MODEL .. Some Extensions .. MARKOV Trend ..63 MODEL Quasi-Maximum Likelihood Estimation .. Estimation via Gibbs Sampling ..94 Hypothesis Testing for SWITCHING Parameters .. Testing Other Hypotheses ..135 Application: A Study of Taiwan s Business Cycles146 The MARKOV SWITCHING MODEL of Conditional Variance187 Application: A Study of Taiwan s Short-Term Interest Rates218 Concluding Remarks26 Appendix I: Estimation of the MODEL ( )27 Appendix II: Computation of Hansen s Statistic ( )29 References30c Chung-Ming Kuan, 200211 IntroductionIt is now common to employ various time series models to analyze the dynamic behav-ior of economic and financial variables.
2 are independent over time. The Markov switching model also di ers from the models of structural changes. While the former allows for frequent changes at random time points,
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