Markov-Switching Dynamic Regression Models
Discrete-time Markov model containing switching state and dynamic
regression submodels
A Markov-switching dynamic regression model
describes the dynamic behavior of time series variables in the presence
of structural breaks or regime changes. A discrete-time Markov chain
(dtmc
) represents the discrete state space of the regimes
and specifies the probabilistic switching mechanism among the regimes. A
collection of dynamic regression (ARX or VARX) submodels (arima
or varm
) describes the dynamic
behavior of the time series within the regimes.
To create a Markov-switching dynamic regression model, see msVAR
.