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Regime Switching Models

Regime switching models allow for situations to switch between different styles of time period. The classic example of regime switching is economic growth, where an economy can have two regimes: growth and recession.

The graph above shows some sample paths for the projection of a regime switching model.

The strength of regime switching models is their ability to model data series that have irregular cycles. This includes:

For a more detailed introduction to regime switching models, visit our downloads section.

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Last modified: November 16, 2002