Markov-switching model selection using Kullback-Leibler divergence

Smith , Aaron, Naik , Prasad A., Tsai, Chih-Ling . Journal of Econometrics 2006. 134 (2) :553-577

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Bibtex

@article{CIS-218111,
  Author = {Smith , Aaron and Naik , Prasad A. and Tsai, Chih-Ling},
  Title = {Markov-switching model selection using Kullback-Leibler divergence},
  Journal = {Journal of Econometrics},
  Volume = {134},
  Number = {2},
  Year = {2006},
  Pages = {553--577},
  Keywords = {EM algorithm, Business cycles, Information criterion, hidden Markov models, advertising effectiveness, Markov-switching regression}
}

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