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Time reversibility of stationary regular finite-state Markov chains [An article from: Journal of Econometrics]
Book Details
Author(s)W.J. McCausland
PublisherElsevier
ISBN / ASINB000PAUB18
ISBN-13978B000PAUB19
AvailabilityAvailable for download now
Sales Rank9,489,445
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Journal of Econometrics, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
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.
Description:
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.
