因子增广马尔可夫切换(FAMS)模型

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摘要翻译：
本文研究了转移概率随时间变化的马尔可夫切换模型中高维信息集的作用。马尔可夫切换模型是宏观经济实证研究和政策研究中常用的模型。然而，为了保证模型的稳定性，用于对切换过程建模的信息通常受到极大的限制。增加包含变量的数量以扩大信息集甚至可能导致模型精度下降。此外，当涉及到通知切换行为时，通常先验不清楚哪些变量实际上是相关的。在因子分析领域的最新贡献的基础上，我们介绍了一种用于非线性时间序列分析的通用马尔可夫切换自回归模型。允许大量的时间序列通过因子结构通知切换过程。这种因子增广马尔可夫切换(FAMS)模型克服了以前对建模框架的评估中可能出现的估计问题。更准确的估计切换行为以及改进的模型拟合结果。FAMS模型的性能在一个模拟数据实例以及美国商业周期应用中得到了说明。
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英文标题：
《A Factor-Augmented Markov Switching (FAMS) Model》
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作者：
Gregor Zens, Maximilian B\"ock
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最新提交年份：
2019
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
--

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英文摘要：
  This paper investigates the role of high-dimensional information sets in the context of Markov switching models with time varying transition probabilities. Markov switching models are commonly employed in empirical macroeconomic research and policy work. However, the information used to model the switching process is usually limited drastically to ensure stability of the model. Increasing the number of included variables to enlarge the information set might even result in decreasing precision of the model. Moreover, it is often not clear a priori which variables are actually relevant when it comes to informing the switching behavior. Building strongly on recent contributions in the field of factor analysis, we introduce a general type of Markov switching autoregressive models for non-linear time series analysis. Large numbers of time series are allowed to inform the switching process through a factor structure. This factor-augmented Markov switching (FAMS) model overcomes estimation issues that are likely to arise in previous assessments of the modeling framework. More accurate estimates of the switching behavior as well as improved model fit result. The performance of the FAMS model is illustrated in a simulated data example as well as in an US business cycle application.
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PDF链接：
https://arxiv.org/pdf/1904.13194

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关键词：马尔可夫 FAM AMS econometrics epidemiology model 信息 贡献 information 研究