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DDMSVAR for Ox: a Software for Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions

By Matteo M. Pelagatti


Duration dependent Markov-switching VAR (from now on DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes, which switches according to a two-state Markov chain with transition probabilities depending on how long the process has been in a state. Interesting applications of this class of models have been carried out in business cycle analysis and in finance. In the present paper we introduce DDMSVAR for Ox, a software written by the author, for the analysis of time series by means of DDMS-VAR models. Possible uses of this software are shown through applications with real data. 1 Introduction an

Year: 2011
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