Threshold autoregressive and Markov switching models:
A) Allow us to potentially capture regime switches in a dependent variable
B) Forecast correlations of two distinct series
C) Maximise the threshold of autoregressive models
D) All of the above
Correct Answer:
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Q1: The unknown parameters of a Markov switching
Q2: Which of these equations is a self-exciting
Q4: The key difference between threshold autoregressive and
Q5: To check for seasonality (day-of-the-week effect) in
Q6: A Markov process can be written mathematically
Q7: To compare the goodness of fit of
Q8: Suppose that a researcher wishes to test
Q9: If a series possesses the "Markov property",
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