Closed-form likelihood function of Markov-switching models.

DOI10.1016/S0165-1765(00)00378-5MaRDI QIDQ5940801zbMATH OpenFDO

Authors Minxian Yang

Publication date 20 August 2001

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(00)00378-5

zbMATH Keywords

Maximum likelihood estimationSwitching models

Mathematics Subject Classification ID

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

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Analysis of time series subject to changes in regime
• Analytical derivatives for Morkov switching models
• Exogeneity
• Geometric equivalence of groups.
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis

Cited in

(2)

• Analytical derivatives for Morkov switching models
• Approximation of the likelihood function for stochastic differential equations with Markovian switching

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