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 (8)

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? ⋮ Bayesian analysis of switching ARCH models

Cites Work

• Unnamed Item
• Unnamed Item
• Econometric specification of stochastic discount factor models
• Volatility persistence and switching ARCH in Japanese stock returns
• Maximum-likelihood estimation for hidden Markov models
• Autoregressive conditional heteroskedasticity and changes in regime
• 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
• Dependent central limit theorems and invariance principles
• Specification testing in Markov-switching time-series models
• Asymptotic normality of the maximum likelihood estimator in state space models
• Exponential forgetting and geometric ergodicity in hidden Markov models
• A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle
• Mixture Processes for Financial Intradaily Durations
• Markov Chains and Stochastic Stability
• KERNEL ESTIMATION WHEN DENSITY MAY NOT EXIST
• Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
• Optimal Test for Markov Switching Parameters
• Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
• Testing for Regime Switching
• Probability
• Asymptotics of the maximum likelihood estimator for general hidden Markov models

This page was built for publication: Asymptotic properties of the maximum likelihood estimator in regime switching econometric models