Browsing BI Open by Author "Agudze, Komla M."
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Markov switching panel with endogenous synchronization effects
Agudze, Komla M.; Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco (Journal article; Peer reviewed, 2021)This paper introduces a new dynamic panel model with multi-layer network effects. Series-specific latent Markov chain processes drive the dynamics of the observable processes, and several types of interaction effects among ...