Selection of the number of states by birth-death processes

2000/01/01 by Leopold Sögner, Sögner, Leopold
Economics, Econometrics and Finance · #Spatial and Panel Data Analysis

paper · pdf · doi:10.57938/9cfdbd53-fb9c-48f4-bf29-8540d10490f7

openalex publication_date 2000/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01

Abstract

In this article we use spatial birth-death processes to estimate the number of states k of a switching model. Following Preston (1976) and Stephens (1998) matching the detailed balance condition for the underlying birth-death process results in an unique invariant probability measure with the corresponding stationary distribution of the number of states. This concept could be easily integrated to Bayesian sampling to derive the marginal posterior distribution of the number of states within the sampling procedure. We apply this technique to simulated AR(1)data and to quarterly Austrian data on unemployment and real gross domestic product. (author's abstract)

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