Asymptotic properties of the maximum likelihood estimator in regime switching econometric models

DOI10.1016/j.jeconom.2018.09.019zbMath1452.62929arXiv1705.10445OpenAlexW2900153862WikidataQ128982761 ScholiaQ128982761MaRDI QIDQ1739870

Hiroyuki Kasahara, Katsumi Shimotsu

Publication date: 29 April 2019

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

Full work available at URL: https://arxiv.org/abs/1705.10445

zbMATH Keywords

asymptotic distributionmaximum likelihood estimatorMarkov regime switchingautoregressive conditional heteroscedasticity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (7)

Dealing with Markov-switching parameters in quantile regression models ⋮ Maximum likelihood estimation for quantile autoregression models with Markovian switching ⋮ Impulse response function analysis for Markov switching VAR models ⋮ Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities ⋮ Likelihood-based analysis in mixture global vars ⋮ Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends ⋮ The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks?

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