The aim of the present paper is to apply a Markov Switching model to check the characteristics of the Brazilian demand for imports equation based on annual data from 1947 to 2002 and on quarterly data from 1978:I to 2002:II. The results show that this model satisfactorily describes the...

We introduce SV models with Markov regime changing state equation (SVMRS) to investigate the important properties of volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far less persistent and smooth than the GARCH or SV...

Markov switching GARCH models have been developed in order to address the statistical regularity observed in financial time series such as strong persistence of conditional variance. However, Maximum Likelihood Estimation faces a implementation problem since the conditional variance depends on...

The present paper applies the Markov switching model with the aim of checking two industrial production features of six major Brazilian states. Firstly, we try to determine the date of business cycles and, soon afterwards, we verify the existence or not of an unobservable component that is...

Markov switching GARCH models have been developed in order to address the statistical regularity observed in financial time series such as strong persistence of conditional variance. However, Maximum Likelihood Estimation faces a implementation problem since the conditional variance depends on...

We propose a new test for the stability of parameters in a Markov switching model where regime changes are driven by an unobservable Markov chain. Testing in this context is more challenging than testing in structural change and threshold models because, besides the presence of nuisance...

There are two crucial conditions for cross-sectional aggregation of AR(1) parameters to produce long memory: 1) heterogeneity and 2) proximity to the unit root. We analyze role of moments, namely the mean and variance, of the distribution of the AR(1) coefficients in generating long memory. The...

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...

The paper considers tests for structural change in time series regression models where both regressors and residuals may exhibit long range dependence. The limiting distribution of the test statistic depends on unknown parameters and is approximated by a bootstrap procedure. The asymptotic...

The possibility of confusing long memory behavior with structural changes need to specify what kind of long memory behavior is concerned in literature and applications. One attraction of long memory models is that they imply different long run predictions and effects of shocks to conventional...