Kim, Chang-Jin; Piger, Jeremy; Startz, Richard - In: Journal of Econometrics 143 (2008) 2, pp. 263-273
Following Hamilton [1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357-384], estimation of Markov regime-switching regressions typically relies on the assumption that the latent state variable controlling regime change is...