Bayesian Markov Regime-Switching Models for Cointegration  

作　　者：Kai Cui Wenshan Cui 

机构地区：[1]Department of Statistical Science, Duke University, Durham, USA [2]School of Science and Information, Qingdao Agricultural University, Qingdao, China

出　　处：《Applied Mathematics》2012年第12期1892-1897,共6页应用数学（英文）

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.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.

关 键 词：COINTEGRATION REGIME-SWITCHING BAYESIAN MCMC 

分 类 号：F2[经济管理—国民经济]