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Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
Author(s) -
Psaradakis Zacharias,
Spagnolo Nicola
Publication year - 2006
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2006.00487.x
Subject(s) - autoregressive model , mathematics , dimension (graph theory) , markov chain , star model , monte carlo method , mathematical optimization , markov model , setar , state (computer science) , model selection , econometrics , autoregressive integrated moving average , algorithm , statistics , time series , combinatorics
. This paper is concerned with the problem of joint determination of the state dimension and autoregressive order of models with Markov‐switching parameters. A model selection procedure is proposed which is based on optimization of complexity‐penalized likelihood criteria. The efficacy of the procedure is evaluated by means of Monte Carlo experiments.