Location of Repository

Processes

By Leopold Sögner, Modelling In Economics, Management Science and Leopold Sogner

Abstract

In this article we use spatial birth-death processes to estimate the number of states k of a switching model. Following Preston (1976) and Stephens (1998) matching the detailed balance condition for the underlying birth-death process results in an unique invariant probability measure with the corresponding stationary distribution of the number of states. This concept could be easily integrated to Bayesian sampling to derive the marginal posterior distribution of number of states within the sampling procedure. We apply this technique to simulated AR(1) data and to quarterly Austrian data on unemployment and real gross domestic product. Keywords: Markov-Chain Monte Carlo, Birth-Death Processes, Switching Models. 1

Year: 2000
OAI identifier: oai:CiteSeerX.psu:10.1.1.184.445
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://www.wu-wien.ac.at/am/Do... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.