Detection of regime switches between stationary and nonstationary processes and economic forecasting
Article Abstract:
A nation's economy switches from one regime to another; this feature is known as the asymmetry of business cycles. The Markov switching model is applied to forecast economic time series. These regime switches may arise between stationary and nonstationary processes. Stochastic unit root models are potentially useful in multi-step-ahead forecasting.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2005
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Statistical surveillance of cyclical processes with application to turns in business cycles
Article Abstract:
Online statistical monitoring of cyclical processes is examined. A significant use of this analysis is the forecast of the next turn in business cycles. Likelihood ratio, Markov model, etc. are discussed in detail.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2005
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Using a heterogeneous multinational probit model with a neutral net extension to model brand choice
Article Abstract:
An external multinational probit model for forecasting price expectations in domestic markets is developed by using hierarchical Bayesian modeling.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2007
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