• State Space Models with Endogenous Regime Switching 

      Chang, Yoosoon; Maih, Junior; Tan, Fei (CAMP Working Paper Series;09/2018, Working paper, 2018-11-24)
      This article studies the estimation of state space models whose parameters are switching endogenously between two regimes, depending on whether an autoregressive latent factor crosses some threshold level. Endogeneity stems ...