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dc.contributor.advisorCheung, Adrian
dc.contributor.authorAwirothananon, Thatphong
dc.date.accessioned2018-01-23T02:48:16Z
dc.date.available2018-01-23T02:48:16Z
dc.date.issued2009
dc.identifier.doi10.25904/1912/2772
dc.identifier.urihttp://hdl.handle.net/10072/367009
dc.description.abstractThis study has three purposes. The first one is to examine the performance of four information criteria in the context of joint determination of the numbers of regimes and variables in Markov switching model (hereafter called the MS model). These criteria are Akaike (1974) information criterion (hereafter called AIC), Schwarz (1978) information criterion (hereafter called SIC), HQC (Hannan & Quinn 1979), and Markov switching criterion: MSC (Smith, Naik & Tsai 2006). The second purpose is to investigate further whether the numbers of regimes and variables in aggregate time series are similar to those in individual time series. Third, to verify the simulation results from the second objective, this study applies the MS model to both aggregate and individual time series in reality.
dc.languageEnglish
dc.publisherGriffith University
dc.publisher.placeBrisbane
dc.rights.copyrightThe author owns the copyright in this thesis, unless stated otherwise.
dc.subject.keywordsInformation criteria
dc.subject.keywordsMarkov switching model
dc.titleInformation Criterion and Joint Determination of the Numbers of Regimes and Variables in Markov Switching Model: Simulation and Empirical Application
dc.typeGriffith thesis
gro.facultyGriffith Business School
gro.description.notepublicThis thesis has been scanned.
gro.rights.copyrightThe author owns the copyright in this thesis, unless stated otherwise.
gro.hasfulltextFull Text
dc.contributor.otheradvisorLiu, Benjamin
dc.rights.accessRightsPublic
gro.identifier.gurtIDgu1334210916560
gro.source.ADTshelfnoADT0
gro.source.GURTshelfnoGURT1110
gro.thesis.degreelevelThesis (PhD Doctorate)
gro.thesis.degreeprogramDoctor of Philosophy (PhD)
gro.departmentGriffith Business School
gro.griffith.authorAwirothananon, Thatphong


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