On gradual regime switching models : a generalisation of Hamilton's method of time-series analysis
The class of Markov Switching time series models, introduced by Professor James Hamilton, is nearly twenty years old. Despite this, relatively little work has been done on allowing gradual transitions between the regimes of the model. Almost all of the published work relates to modelling a transitio...
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Swansea University
2005
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.751969 |