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A Markov Switching Autoregressive Model with Time-Varying Parameters

This study showcased the Markov switching autoregressive model with time-varying parameters (MSAR-TVP) for modeling nonlinear time series with structural changes. This model enhances the MSAR framework by allowing dynamic parameter adjustments over time. Parameter estimation uses maximum likelihood...

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Principais autores: Syarifah Inayati, Nur Iriawan, Irhamah
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2024-07-01
Serier:Forecasting
Fag:
forecasting
Markov switching models
nonlinear time series
structural change
sustainable economic growth
time-varying parameters
Online adgang:https://www.mdpi.com/2571-9394/6/3/31
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