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Regime-switching empirical similarity model: a comparison with baseline models
In this paper, I extend the standard specification of the empirical similarity (ES) model of Gilboa et al. (Rev Econ Stat 88:433–444, 2006) to account for changes in parameters. I implement this by allowing for a combination of component ES models in the spirit of Gaussian mixture models. The predic...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer Berlin Heidelberg
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8853193/ https://www.ncbi.nlm.nih.gov/pubmed/35194304 http://dx.doi.org/10.1007/s00181-022-02214-8 |