Regime-Switching Models
Sea change, a fundamental, profound change, a regime-switch in modeling terms, not a gradual process as in Shakespeare's The Tempest where Ariel sang: Full fathom five thy father lies Of his bones are coral made Those are pearls that were his eyes Nothing of him that doth fade But doth suffer a sea-change Into something rich and strange. Your Sunny Day and Rainy Day Screens is an auto regime-switching model. * for reference on Sunny Day and Rainy Day screens see http://valuengine.blogspot.com/2007/10/sunny-day-and-rainy-day-screens.html James D. Hamilton of the Department of Economics, University of California, San Diego is one of the pioneers in work on regime-switching models. To explain "regime-switching models", we first quote from the introduction of his paper " Regime-Switching Models" (May, 2005) prepared for the Palgrave Dictionary of Economics. "Many economic time series occasionally exhibit dramatic breaks in their behavior, associated with eve...