Structural Breaks and Switching Models E-course, 2nd ed

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Structural Breaks and Switching Models E-course, 2nd ed

Postby TomDoan » Tue Jan 02, 2018 11:13 am

The Structural Breaks and Switching Models e-course has been updated to a 2nd edition. It treats a broad range of subjects, including tests for structural breaks and threshold effects, and estimation of threshold autoregression (TAR) and smooth transition (STAR) models. More than half the course is devoted to the topic of Markov Switching models, with applications to regressions, VAR, State-Space, and ARCH and GARCH models. It covers both maximum likelihood (EM where appropriate) and Bayesian estimation techniques.

The second edition adds over 100 pages, with new coverage of the ICSS test for variance breaks, the “fixed regressor bootstrap”, increased coverage of computation of non-linear impulse response functions in various threshold models and a completely rewritten section on Threshold VAR’s. We’ve reworked the various Markov switching support procedures, and the updated chapters on Markov Switching models and their examples have been revised to reflect that. In particular, there is now a (very) detailed description of the process of computing regime-specific impulse response functions with error bands.

Finally, the section on Markov Switching GARCH models has been completely rewritten to explain the difference between the more accurate “Dueker filter” and the more commonly used “Gray filter” with application to the same data set to demonstrate that. It’s also shown that each of the filters at times may fail (rather badly) to provide an adequate approximation to the log likelihood, producing possibly misleading results.

The course includes a 343 page book in PDF form, with 40 executable programs with data. (Note: some of the examples require at least version 9.2 of RATS). The examples are the heart of the course. The book includes enough theory to make sense of the examples, but mainly explains in quite a bit of detail the calculations done in the examples.

The price for the course materials is $50.

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View the Preface and Table of Contents

Sample Chapter
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Last bumped by TomDoan on Tue Jan 02, 2018 11:13 am.
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