Statistical Estimation and Classification Algorithms for Regime-Switching VAR Model with Exogenous Variables

  • Vladimir Malugin Belarusian State University
  • Alexander Novopoltsev Belarusian State University

Abstract

We consider a vector autoregression model with exogenous variables and Markov-switching regimes to describe complex systems with cyclic changes of states. To estimate and forecast the states, we propose EM and discriminant analysis algorithms based on non-classified and classified data samples accordingly. The accuracy of the algorithms is examined by means of computer simulation experiments.

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Published
2017-04-12
How to Cite
Malugin, V., & Novopoltsev, A. (2017). Statistical Estimation and Classification Algorithms for Regime-Switching VAR Model with Exogenous Variables. Austrian Journal of Statistics, 46(3-4), 47-56. https://doi.org/https://doi.org/10.17713/ajs.v46i3-4.670
Section
Special Issue CDAM conference