Inference on filtered and smoothed probabilities in Markov-switching autoregressive models

Alvarez, Rocio; Camacho, Maximo; Ruiz, Manuel

Publication:
Inference on filtered and smoothed probabilities in Markov-switching autoregressive models

dc.contributor.author	Alvarez, Rocio
dc.contributor.author	Camacho, Maximo
dc.contributor.author	Ruiz, Manuel
dc.contributor.department	Métodos Cuantitativos para la Economía y la Empresa
dc.date.accessioned	2024-01-12T07:35:29Z
dc.date.available	2024-01-12T07:35:29Z
dc.date.issued	2018-05-22
dc.description	© 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.	es
dc.description.abstract	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.	es
dc.format	application/pdf	es
dc.format.extent	26	es
dc.identifier.citation	Journal of Business and Economic Statistics 37 (3). Pags 484-495
dc.identifier.doi	https://doi.org/10.1080/07350015.2017.1380032
dc.identifier.issn	1537-2707
dc.identifier.uri	http://hdl.handle.net/10201/137228
dc.language	eng	es
dc.publisher	Taylor & Francis Group	es
dc.relation	ECO2016-76178-P; ECO2015-65637-P; 19884/GERM/15	es
dc.relation.publisherversion	https://www.tandfonline.com/doi/full/10.1080/07350015.2017.1380032	es
dc.rights	info:eu-repo/semantics/openAccess	es
dc.rights	Atribución-NoComercial 4.0 Internacional	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc/4.0/	*
dc.subject	Markov Switching	es
dc.subject	Business cycles	es
dc.subject	Time Series	es
dc.subject.other	CDU::3 - Ciencias sociales	es
dc.title	Inference on filtered and smoothed probabilities in Markov-switching autoregressive models	es
dc.type	info:eu-repo/semantics/article	es
dspace.entity.type	Publication	es