Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching

DOI10.1016/S0304-4076(98)00010-4zbMath0937.62090OpenAlexW1976153618MaRDI QIDQ1305646

Martin Sola, Zacharias Psaradakis

Publication date: 13 June 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00010-4

zbMATH Keywords

tablesregime shiftsmaximum likelihood estimatorMarkov-switching modeltimes seriesfinite-sample distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Markov-switching model selection using Kullback-Leibler divergence, Finite-sample properties of the bootstrap estimator in a Markov-switching model, Identification-robust moment-based tests for Markov switching in autoregressive models, Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities, Granger-causality in Markov switching models, Testing for sign and amplitude asymmetries using threshold autoregressions, The regime switching portfolios, Log mean-variance portfolio selection under regime switching, Regime switching volatility calibration by the Baum-Welch method, Small sample properties of the conditional least squares estimator in SETAR models, Revisiting the transitional dynamics of business cycle phases with mixed-frequency data

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