Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching

DOI10.1016/S0304-4076(98)00010-4MaRDI QIDQ1305646zbMATH OpenOpenAlexFDO

Authors Zacharias Psaradakis, Martin Sola

Publication date 13 June 2000

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(98)00010-4

zbMATH Keywords

finite-sample distributionMarkov-switching modelmaximum likelihood estimatorregime shiftstablestimes series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(15)

• Finite sample properties of estimators for autoregressive moving average models
• Small sample properties of the conditional least squares estimator in SETAR models
• Markov-switching model selection using Kullback-Leibler divergence
• SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL
• Granger-causality in Markov switching models
• Finite-sample properties of the bootstrap estimator in a Markov-switching model
• The regime switching portfolios
• Log mean-variance portfolio selection under regime switching
• Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
• Identification-robust moment-based tests for Markov switching in autoregressive models
• Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
• Big swings in the data and perceived changes in the risk premia
• A general autoregressive model with Markov switching: estimation and consistency
• Testing for sign and amplitude asymmetries using threshold autoregressions
• Regime switching volatility calibration by the Baum-Welch method

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