Concepedia

Regime Shift Modeling

Regime Shift Modeling is a statistical framework that identifies and characterizes abrupt changes in the underlying structure of a time series process, distinguishing itself from other structural break methods by explicitly modeling the transitions between distinct regimes as endogenous, state-dependent shifts governed by threshold, Markov, or latent variable mechanisms.

435

Publications

40.4K

Citations

1.1K

Authors

667

Institutions

Publications per year

2017–2026

98

Variants

Regime-switching Modeling

Parents

Publications

435

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.7K citations

, , +17

Residual-based tests for cointegration in models with regime shifts

Allan W. Gregory, Bruce E. Hansen · Journal of Econometrics · 1996 · 2.5K citations · Full text

, , +13

Analysis of time series subject to changes in regime

James D. Hamilton · Journal of Econometrics · 1990 · 2K citations

, , +11

Rational-expectations econometric analysis of changes in regime

James D. Hamilton · Journal of Economic Dynamics and Control · 1988 · 925 citations

, , +11

Turning back from the brink: Detecting an impending regime shift in time to avert it

Reinette Biggs, Stephen R. Carpenter, William A. Brock · Proceedings of the National Academy of Sciences · 2009 · 722 citations · Full text

, , +9

1–5 of 435

Authors

1.1K

  1. ÉG
    Éric Ghysels

    University of North Carolina at Chapel Hill, United States

    7 publications · 279 citations

    7

    h-index

  2. CK
    Chang‐Jin Kim

    University of California, Los Angeles, United States

    6 publications · 838 citations

    6

    h-index

  3. MS
    Martín Solà

    Birkbeck, University of London, United Kingdom

    5 publications · 330 citations

    5

    h-index

  4. SR
    Stephen R. Carpenter

    University of Wisconsin–Madison, United States

    5 publications · 1K citations

    5

    h-index

  5. WA
    William A. Brock

    University of Wisconsin–Madison, United States

    5 publications · 1K citations

    5

    h-index

1–5 of 1.1K

Institutions

667

  1. University of Virginia

    Charlottesville, United States

    9 h-index

    11 publications

    3.5K citations

  2. University of Wisconsin–Madison

    Madison, United States

    9 h-index

    16 publications

    1.8K citations

  3. Centre National de la Recherche Scientifique

    Paris, France

    9 h-index

    22 publications

    1.7K citations

  4. Chinese Academy of Sciences

    Beijing, China

    8 h-index

    24 publications

    1.2K citations

  5. University of Washington

    Seattle, United States

    8 h-index

    12 publications

    1.3K citations

  6. National Bureau of Economic Research

    Cambridge, United States

    8 h-index

    10 publications

    437 citations

  7. University of Rochester

    Rochester, United States

    7 h-index

    9 publications

    3K citations

  8. Japan Fisheries Research and Education Agency

    Yokohama, Japan

    6 h-index

    19 publications

    1.4K citations

1–8 of 667

Venues

  1. SSRN Electronic Journal

    Repository · 34 publications · 960 citations

    21

    h-index

  2. RePEc: Research Papers in Economics

    Repository · 19 publications · 332 citations

    11

    h-index

  3. Journal of Econometrics

    10 publications · 5.3K citations

    10

    h-index

  4. Journal of Business and Economic Statistics

    JBES · 10 publications · 1.4K citations

    10

    h-index

  5. Journal of Applied Econometrics

    10 publications · 859 citations

    10

    h-index

1–5