Time reversibility of stationary regular finite-state Markov chains

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dc.contributor.author Mccausland, William en_US
dc.contributor.editor en_US
dc.date.accessioned 2012-02-02T11:02:06Z
dc.date.available 2012-02-02T11:02:06Z
dc.date.issued 2007 en_US
dc.identifier 2010006473 en_US
dc.identifier.citation Mccausland William 2007, 'Time reversibility of stationary regular finite-state Markov chains', Elsevier, vol. 136, no. 1, pp. 303-318. en_US
dc.identifier.issn 0304-4076 en_US
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/15701
dc.description.abstract We propose an alternate parameterization of stationary regular finite-state Markov chains, and a decomposition of the parameter into time reversible and time irreversible parts. We demonstrate some useful properties of the decomposition, and propose an index for a certain type of time irreversibility, applicable to chains whose states are naturally ordered. Two empirical examples illustrate the use of the proposed parameter, decomposition and index. One, on gasoline price mark-ups, involves observed states. The other, on U.S. investment growth, features latent states. en_US
dc.language en_US
dc.publisher Elsevier en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.jeconom.2005.09.001 en_US
dc.title Time reversibility of stationary regular finite-state Markov chains en_US
dc.parent Journal of Econometrics en_US
dc.journal.volume 136 en_US
dc.journal.number 1 en_US
dc.publocation The Netherlands en_US
dc.identifier.startpage 303 en_US
dc.identifier.endpage 318 en_US
dc.cauo.name BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 140300 en_US
dc.personcode 108395 en_US
dc.percentage 100 en_US
dc.classification.name Econometrics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Finite-state Markov chains; Time reversibility; Bayesian inference; Hidden Markov models en_US
dc.staffid en_US
dc.staffid 108395 en_US


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