Zeszyt 40/2016

Kolegium Analiz Ekonomicznych oświadcza, że wersją pierwotną czasopisma jest wersja papierowa.

Monika Kośko, Marta Kwiecień, Joanna Stempińska

Przełącznikowe modele Markowa (MS) – charakterystyka i sposoby zastosowań w badaniach ekonomicznych

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Markov switching models MS – characteristics and methods of application in economic research

Abstract
The paper presents the characteristics of Markov switching models (MS), their types, estimation method, and various methods of their application in economic research. MS models are a practical tool that is used in the analysis of economic processes characterised by the occurrence of certain states (regimes). MS models allow to describe series characterised by regular volatility over time, for example series in which there are periods of increased and decreased variability or faster and slower growth. The purpose of this article is to draw attention to the fact that Markov switching models are essential tools in modelling and forecasting such important economic issues as business cycles and time series of the financial market.

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spis treści zeszytu 40

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