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A descriptive method to evaluate the number of regimes in a switching autoregressive model
1SAMOS-MATISSE, Universite Paris I, 90 Rue de Tolbiac, 75013 Paris, France. madalina.olteanu@univ-paris1.fr
Abstract:
This paper proposes a descriptive method for an open problem in time series analysis: determining the number of regimes in a switching autoregressive model. We will translate this problem into a classification one and define a criterion for hierarchically clustering different model fittings. Finally, the method will be tested on simulated examples and real-life data.
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