State Space Models with Endogenous Regime Switching :

@inproceedings{Chang2018StateSM,
  title={State Space Models with Endogenous Regime Switching :},
  author={Yoosoon Chang and Junior Maih and Fei Tan},
  year={2018}
}
This article studies the estimation of state space models whose parameters are switching endogenously between two regimes, depending on whether an autoregressive latent factor crosses some threshold level. Endogeneity stems from the sustained impacts of transition innovations on the latent factor, absent from which our model reduces to one with exogenous Markov switching. Due to the flexible form of state space representation, this class of models is vastly broad, including classical regression… CONTINUE READING
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