Porovnat metody

	Model Markovova přechodu stavů pro finanční časové řady	Regrese metodou ordinárních nejmenších čtverců (OLS)
Obor	Finance	Ekonometrie
Rodina	Regression model	Regression model
Rok vzniku	1989	2019
Tvůrce	James D. Hamilton	Wooldridge (textbook treatment); classical least squares
Typ	Markov regime-switching time-series model	Linear regression
Původní zdroj	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.	Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860
Další názvy	Markov switching model, Hamilton regime-switching model, MS-AR, hidden Markov regime model	ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu
Příbuzné	1	5
Shrnutí	The Markov regime-switching model, introduced by James D. Hamilton in 1989, is a hidden-state time-series model in which financial series such as returns or volatility behave with different parameters across distinct economic regimes (bull/bear or high/low volatility). It is the financial application of Hamilton's MS-AR model, where an unobserved Markov state governs which parameter set is active at each point in time.	Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE).