Artículo
Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
Fecha de publicación:
12/2022
Editorial:
Wiley Blackwell Publishing, Inc
Revista:
Econometrica
ISSN:
0012-9682
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
This paper considers maximum likelihood (ML) estimation in a largeclass of models with hidden Markov regimes. We investigate consistencyof the ML estimator and local asymptotic normality for the models undergeneral conditions which allow for autoregressive dynamics in the observable process, Markov regime sequences with covariate-dependent transitionmatrices, and possible model misspecification. A Monte Carlo study examines the finite-sample properties of the ML estimator in correctly specifiedand misspecified models. An empirical application is also discussed.
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Citación
Pouzo, Demian; Psaradakis, Zacharias; Sola, Martin; Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities; Wiley Blackwell Publishing, Inc; Econometrica; 90; 4; 12-2022; 1681-1710
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