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On Joint Determination of the Number of States and the Number of Variables in Markov-Switching Models: A Monte Carlo Study

Thatphong Awirothananon, Wai-Kong (Adrian) Cheung. On Joint Determination of the Number of States and the Number of Variables in Markov-Switching Models: A Monte Carlo Study. Communications in Statistics - Simulation and Computation, 38(8):1757-1788, 2009. [doi]

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