An Introduction to Regime Switching Time Series Models

  • Theis LangeEmail author
  • Anders Rahbek


A survey is given on regime switching in econometric time series modelling. Numerous references to applied as well as methodological literature are presented. A distinction between observation switching (OS) and Markov switching (MS) models is suggested, where in OS models, the switching probabilities depend on functions of lagged observations. In contrast, in MS models the switching is a latent unobserved exogenous process. With an emphasis on OS and MS ARCH and cointegrated models, stationarity and ergodicity properties are discussed as well as likelihood-based estimation, asymptotic theory and hypothesis testing.


GARCH Model Markov Switching Nonlinear Time Series Arch Model Regime Switching Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of CopenhagenCopenhagen KDenmark

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