Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/192188 
Year of Publication: 
1997
Series/Report no.: 
Discussion Papers No. 204
Publisher: 
Statistics Norway, Research Department, Oslo
Abstract: 
In this paper we point out that using a two-state Markov chain to describe change in regime makes it difficult to interpret the model since there is a bias towards frequent shifts. However, by using a finite Markov chain with a transition matrix satisfying certain restrictions it is possible to circumvent the difficulty and at the same time use the established procedures for estimation and filtering. The methods are applied to a couple of time series from the Norwegian quarterly national accounts.
Subjects: 
Change in regime
Markov-switching models
alternating renewal processes
JEL: 
C22
E32
Document Type: 
Working Paper
Document Version: 
Digitized Version

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