Closed-form likelihood function of Markov-switching models.

DOI10.1016/S0165-1765(00)00378-5zbMath1080.62532MaRDI QIDQ5940801

Minxian Yang

Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Maximum likelihood estimationSwitching models

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Cites Work

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• Analysis of time series subject to changes in regime
• Geometric equivalence of groups.
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Analytical derivatives for Morkov switching models
• Exogeneity
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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