Frequentist forecasting in regime-switching models with extended Hamilton filter
Published:Dec 20, 2025 00:13
•1 min read
•ArXiv
Analysis
This article likely presents a technical contribution to the field of time series analysis and econometrics. It focuses on improving forecasting accuracy within models that allow for shifts in underlying dynamics (regime-switching). The use of the extended Hamilton filter suggests a focus on computational efficiency and potentially improved estimation of the model parameters and forecasts.
Key Takeaways
- •Focuses on improving forecasting in regime-switching models.
- •Utilizes the extended Hamilton filter for potentially improved computational efficiency and estimation.
- •Likely targets researchers and practitioners in econometrics and time series analysis.
Reference
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