Again, consider the change series of the US monthly unemployment duration from February 1948 to August 2017.

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Again, consider the change series of the US monthly unemployment duration from February 1948 to August 2017. Fit a two-state Markov switching autoregressive model to the series. Perform model checking and write down the fitted model. Compare the Markov switching model with the threshold model built previously. Comment on the two models.

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Nonlinear Time Series Analysis

ISBN: 9781119264057

1st Edition

Authors: Ruey S. Tsay, Rong Chen

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