Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
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Publication:6181694
DOI10.3982/ecta17249arXiv1612.04932OpenAlexW4286539387MaRDI QIDQ6181694
Zacharias Psaradakis, Demian Pouzo, Martin Sola
Publication date: 23 January 2024
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.04932
consistencyhidden Markov modellocal asymptotic normalitymaximum likelihoodautoregressive modelsMarkov-switching modelmisspecified modelscovariate-dependent transition probabilities
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