Journal of Time Series Analysis

Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching

Journal Article

Abstract.  This paper is concerned with the problem of joint determination of the state dimension and autoregressive order of models with Markov‐switching parameters. A model selection procedure is proposed which is based on optimization of complexity‐penalized likelihood criteria. The efficacy of the procedure is evaluated by means of Monte Carlo experiments.

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