Non-Markovian regime switching with endogenous states and time-varying state strengths
By: by Siddhartha Chib and Michael J. Dueker.
Contributors: Dueker, Michael.
Series: Working paper ;; 2004-030A; Working paper (Federal Reserve Bank of St. Louis : Online) ;; 2004-030A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2004
Place of publication: [St. Louis, Mo.]
Language: eng
Format: Electronic resource
Subjects: Latent variables.; Latent structure analysis.
Description: "This article presents a non-Markovian regime switching model in which the regime states depend on the sign of an autoregressive latent variable.  The magnitude of the latent variable indexes the 'strength' of the state or how deeply the system is embedded in the current regime.  In this model, regimes have dynamics, not only persistence, so that one regime can gradually give way to another.  In this framework, it is natural to allow the autoregressive latent variable to be endogenous so that regimes are determined jointly with the observed data.  We apply the model to GDP growth, as in Hamilton (1989), Albert and Chib (1993) and Filardo and Gordon (1998) to illustrate the relation of the regimes to NBER-dated recessions and the time-varying expected durations of regimes.  The article makes use of the Metropolis-Hastings algorithm to make multi-move draws of the latent regime strength variable, where the extended Kalman filter provides a valid proposal density for the latent variable"--Federal Reserve Bank of St. Louis web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 11/22/2004.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.