ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV‐SWITCHING VAR(CH) MODELS

DOI10.1111/jtsa.12085zbMath1311.62127OpenAlexW1487998535MaRDI QIDQ5176866

Maddalena Cavicchioli

Publication date: 4 March 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12085

zbMATH Keywords

smoothingfilteringMLEasymptotic variance matrixtime series with changes in regimeMarkov-switching VAR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02)

Related Items (12)

Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ On mixture autoregressive conditional heteroskedasticity ⋮ Asymptotic Fisher information matrix of Markov switching VARMA models ⋮ Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series ⋮ Impulse response function analysis for Markov switching VAR models ⋮ Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends ⋮ A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process ⋮ OLS estimation of Markov switching VAR models: asymptotics and application to energy use ⋮ Statistical Analysis Of Mixture Vector Autoregressive Models ⋮ Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models

Cites Work

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• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Analytical derivatives for Morkov switching models
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• Stationarity of multivariate Markov-switching ARMA models

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