Dueker, Michael (contributor); Sola, Martin (contributor); … - 2003 - [Elektronische Ressource]
construction, all the variables that enter in the information set also enter in the transition function.
4
The first two rows of … the linear and nonlinear models is chosen using complexity-penalized likelihood criteria (e.g., the Akaike
Information … estimated filtered probabilities single out the Volcker period as a different regime.
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We find, using
the Akaike Information …