klinkenberg permeability is an important parameter in tight gas reservoirs. there are conventional methods for determining it, but these methods depend on core permeability. cores are few in number, but well logs are usually accessible for all wells and provide continuous information. in this regard, regression methods have been used to achieve reliable relations between log readings and klinke...

We consider switching regression models with independent or Markov-dependent regime. Based on the modified likelihood ratio test (LRT) statistic by Chen, Chen and Kalbfleisch (2004, JRSSB) we propose a test for two against more states of the underlying regime, and derive its asymptotic distribution in case when there is a single switching parameter. We show that its asymptotic distribution is r...

We study what happens to identified shocks and dynamic responses when the data generating process features q disturbances but 1 < variables are used in an empirical model. Identified linear combinations of current past values all structural do not necessarily combine same type. Theory-based restrictions may be insufficient obtain dynamics. revisit evidence regarding transmission house price ...

This paper discusses the existence of spurious long memory in common nonlinear time series models, namely Markov switching and threshold models. We describe the asymptotic behavior of the process in terms of autocovariance and autocorrelation function and support the theoretical evidences by providing Monte Carlo simulation. The existence of long memory in these nonlinear processes is induced b...

EMPs Extended morphological profiles EMPs Extended morphological profiles LDA Linear discriminant analysis LogDA Logarithmic discriminant analysis MLR Multinomial logistic regression MLRsubMRF Subspace-based multinomial logistic regression followed by Markov random fields MPs Morphological profiles MRFs Markov random fields PCA Principal component analysis QDA Quadratic discriminant analysis RH...

Stochastic behavior of stock returns is very important for investors and policy makers in the stock market. In this paper, the stochastic behavior of the return index of Tehran Stock Exchange (TEDPIX) is examined using unobserved component Markov switching model (UC-MS) for the 3/27/2010 until 8/3/2015 period. In this model, stock returns are decomposed into two components; a permanent componen...

Does the probability of moving from a recession into an expansion depend on how long the economy has been in recession? Similarly, does the probability that the economy may fall into a recession depend on the length of the expansion phase? The present paper tries to answer these two questions, at least as far as the U.S. economy is concerned. Some authors have already dealt with the duration-de...

The exchange rate regime in Iran is practically fixed. The Central Bank of Iran (CBI) has committed itself to trying to bring about a particular exchange rate regime to meet two important targets: 1. Sustaining competitiveness of the economy, 2. Acquiring the share of foreign reserves in monetary base in a predetermined level. Since 2001 the share of foreign reserves in monetary base has i...

In this paper we discuss the calibration issues of regime switching models built on mean-reverting and local volatility processes combined with two Markov regime switching processes. In fact, the volatility structure of this model depends on a first exogenous Markov chain whereas the drift structure depends on a conditional Markov chain with respect to the first one. The structure is also assum...