{"id":"https://openalex.org/W2044636546","doi":"https://doi.org/10.1080/03610910903121982","title":"On Joint Determination of the Number of States and the Number of Variables in Markov-Switching Models: A Monte Carlo Study","display_name":"On Joint Determination of the Number of States and the Number of Variables in Markov-Switching Models: A Monte Carlo Study","publication_year":2009,"publication_date":"2009-08-06","ids":{"openalex":"https://openalex.org/W2044636546","doi":"https://doi.org/10.1080/03610910903121982","mag":"2044636546"},"language":"en","primary_location":{"id":"doi:10.1080/03610910903121982","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910903121982","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5017832223","display_name":"Thatphong Awirothananon","orcid":"https://orcid.org/0000-0003-2203-3068"},"institutions":[{"id":"https://openalex.org/I11701301","display_name":"Griffith University","ror":"https://ror.org/02sc3r913","country_code":"AU","type":"education","lineage":["https://openalex.org/I11701301"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Thatphong Awirothananon","raw_affiliation_strings":["Department of Accounting, Finance, and Economics , Griffith Business School, Griffith University , Queensland , Australia"],"affiliations":[{"raw_affiliation_string":"Department of Accounting, Finance, and Economics , Griffith Business School, Griffith University , Queensland , Australia","institution_ids":["https://openalex.org/I11701301"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5015773859","display_name":"Adrian Cheung","orcid":"https://orcid.org/0000-0002-4369-2129"},"institutions":[{"id":"https://openalex.org/I11701301","display_name":"Griffith University","ror":"https://ror.org/02sc3r913","country_code":"AU","type":"education","lineage":["https://openalex.org/I11701301"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Wai-Kong (Adrian) Cheung","raw_affiliation_strings":["Department of Accounting, Finance, and Economics , Griffith Business School, Griffith University , Queensland , Australia"],"affiliations":[{"raw_affiliation_string":"Department of Accounting, Finance, and Economics , Griffith Business School, Griffith University , Queensland , Australia","institution_ids":["https://openalex.org/I11701301"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5015773859"],"corresponding_institution_ids":["https://openalex.org/I11701301"],"apc_list":null,"apc_paid":null,"fwci":0.5432,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.78208779,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"38","issue":"8","first_page":"1757","last_page":"1788"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9937000274658203,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9937000274658203,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9850000143051147,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9713000059127808,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.6486904621124268},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.6153007745742798},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.5732983946800232},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.5730531811714172},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5320563912391663},{"id":"https://openalex.org/keywords/markov-model","display_name":"Markov model","score":0.47759461402893066},{"id":"https://openalex.org/keywords/dimension","display_name":"Dimension (graph theory)","score":0.42593634128570557},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.38775530457496643},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3368527889251709},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.32668477296829224},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.27200454473495483},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.18938210606575012},{"id":"https://openalex.org/keywords/combinatorics","display_name":"Combinatorics","score":0.09828516840934753},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.09398698806762695}],"concepts":[{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.6486904621124268},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.6153007745742798},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.5732983946800232},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.5730531811714172},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5320563912391663},{"id":"https://openalex.org/C163836022","wikidata":"https://www.wikidata.org/wiki/Q6771326","display_name":"Markov model","level":3,"score":0.47759461402893066},{"id":"https://openalex.org/C33676613","wikidata":"https://www.wikidata.org/wiki/Q13415176","display_name":"Dimension (graph theory)","level":2,"score":0.42593634128570557},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.38775530457496643},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3368527889251709},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.32668477296829224},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.27200454473495483},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.18938210606575012},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.09828516840934753},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.09398698806762695}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/03610910903121982","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910903121982","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},{"id":"pmh:oai:research-repository.griffith.edu.au:10072/29377","is_oa":false,"landing_page_url":"http://hdl.handle.net/10072/29377","pdf_url":null,"source":{"id":"https://openalex.org/S4306402548","display_name":"Griffith Research Online (Griffith University, Queensland, Australia)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I11701301","host_organization_name":"Griffith University","host_organization_lineage":["https://openalex.org/I11701301"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Journal article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":4,"referenced_works":["https://openalex.org/W1969570435","https://openalex.org/W2074812030","https://openalex.org/W2109646609","https://openalex.org/W2156254861"],"related_works":["https://openalex.org/W2084326697","https://openalex.org/W2027903142","https://openalex.org/W2354322608","https://openalex.org/W2804608325","https://openalex.org/W2077211377","https://openalex.org/W2186675474","https://openalex.org/W2387462590","https://openalex.org/W2056274461","https://openalex.org/W2368739446","https://openalex.org/W2010321967"],"abstract_inverted_index":{"In":[0],"this":[1],"article,":[2],"we":[3],"examine":[4],"the":[5,15,94,141,144,159,163],"performance":[6],"of":[7,17,26,59,70,93,108,121,146,158,166],"two":[8],"newly":[9],"developed":[10],"procedures":[11],"that":[12,174],"jointly":[13],"select":[14],"number":[16],"states":[18],"and":[19,76,78,97,153,162,180],"variables":[20],"in":[21,155],"Markov-switching":[22,51,138,167],"models":[23,101],"by":[24],"means":[25],"Monte":[27,170],"Carlo":[28,171],"simulations.":[29],"They":[30],"are":[31,182],"Smith":[32,36],"et":[33],"al.":[34],"(2006":[35,80],",":[37,39,41,44,46,73,82,84,86,124],"A.":[38,43],"Naik":[40],"P.":[42],"Tsai":[45],"C.":[47],"(":[48,62,88,113],"2006":[49,89],").":[50,90],"model":[52],"selection":[53],"using":[54],"Kullback\u2013Leibler":[55],"divergence":[56],".":[57,106],"Journal":[58,107],"Econometrics":[60],"134":[61],"2":[63,114],"):":[64,115],"553":[65],"\u2013":[66,117],"577":[67],".[Crossref],":[68,119],"[Web":[69,120],"Science":[71,122],"\u00ae]":[72,123],"[Google":[74,125],"Scholar])":[75],"Psaradakis":[77,81],"Spagnolo":[79,85],"Z.":[83],"N.":[87],"Joint":[91],"determination":[92,157],"state":[95,160],"dimension":[96,161],"autoregressive":[98,164],"order":[99,165],"for":[100,137],"with":[102],"Markov":[103,131],"regime":[104],"switching":[105,132],"Time":[109],"Series":[110],"Analysis":[111],"27":[112],"753":[116],"766":[118],"Scholar]),":[126],"respectively.":[127],"The":[128,169],"former":[129],"develops":[130],"criterion":[133],"(MSC)":[134],"designed":[135],"specifically":[136],"models,":[139],"while":[140,178],"latter":[142],"recommends":[143],"use":[145],"standard":[147],"complexity-penalised":[148],"information":[149],"criteria":[150],"(BIC,":[151],"HQC,":[152],"AIC)":[154],"joint":[156],"models.":[168],"evidence":[172],"shows":[173],"BIC":[175],"outperforms":[176],"MSC":[177,179],"HQC":[181],"preferable":[183],"over":[184],"AIC.":[185]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2016-06-24T00:00:00"}
