MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARKOV MODEL
提出一种无限隐马尔可夫模型，在贝叶斯框架下统一处理机制转换和结构断裂，自动估计状态数量，并应用于美国实际利率数据，相比现有参数模型预测更优。
SUMMARY This paper proposes an infinite hidden Markov model to integrate the regime switching and structural break dynamics in a unified Bayesian framework. Two parallel hierarchical structures, one governing the transition probabilities and another governing the parameters of the conditional data density, keep the model parsimonious and improve forecasts. This flexible approach allows for regime persistence and estimates the number of states automatically. An application to US real interest rates compares the new model to existing parametric alternatives. Copyright © 2013 John Wiley & Sons, Ltd.