Predicting Markov-Switching Vector Autoregressive Processes
نویسنده
چکیده
Abstract While there has been a great deal of interest in the modelling of non-linearities and regime shifts in economic time series, there is no clear consensus regarding the forecasting abilities of these models. In this paper we develop a general approach to predict multiple time series subject to Markovian shifts in the regime. The feasibility of the proposed forecasting techniques in empirical research is demonstrated and their forecast accuracy is evaluated.
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