Applications to Switching Regime Models

Christian Gouriéroux and Alain Monfort

in Simulation-based Econometric Methods

Published in print January 1997 | ISBN: 9780198774754
Published online November 2003 | e-ISBN: 9780191596339 | DOI:

Series: OUP/CORE Lecture Series

 Applications to Switching Regime Models

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Considers applications to Endogenously Switching Regime Models, mainly dynamic Disequilibrium Models, and to Exogenously Switching Regime Models, mainly Hidden Markov Chain Models. The methods used are simulated PML and ML methods, and Sequentially Optimal Sampling is introduced.

Keywords: Disequilibrium; Hidden Markov Chain; Sequentially Optimal Sampling; Switching Regimes

Chapter.  7103 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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