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2005 | nr 75 | 45--54
Tytuł artykułu

Binary Hidden Markov Models in Analysis of the Results of Business Surveys

Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
In recent years it turned out that Markov Switching Models (MSM) are very useful in analyses of macroeconomic time series. In most papers continuous state space models are considered. However, for the purpose of analyzing time series from business surveys discrete state space models are more suitable. Therefore, we use Hidden Markov Models (HMM), which can be treated as kind of MSM. In particular, we focus on binary HMM to demonstrate their efficacy in inference based on business survey results. In this analysis data base of industry business surveys, carried out by the Research Institute of Economic Development of the Warsaw School of Economics is used. (original abstract)
Twórcy
  • Warsaw School of Economics, Poland
  • Warsaw School of Economics, Poland
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171240855

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