January 2018 RATSLetter

RATS Newsletters

January 2018 RATSLetter

Unread postby TomDoan » Thu Jan 18, 2018 5:30 pm

January 2018 Newsletter

  • Updates to 2nd edition of Structural Breaks and Switching Models course and the State-Space/DSGE course.
  • Updated examples and procedures. Most of the examples are covered as part of the new edition of the Structural Breaks course.
  • Markov-Switching GARCH models. This is a summary of the section from the new edition of the Structural Breaks course.
  • "How to Switch if you Must" describes the differences between three common types of regime-based behavior (structural break, threshold break and Markov switching) and how to choose which is appropriate.
  • "Evaluation of GARCH Forecasts" looks at difficulties with using common forecast error statistics (like RMSE) in evaluating out-of-sample behavior of GARCH models.
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