Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results

DOI10.1016/S0304-4076(96)00007-3zbMATH Open0900.62656OpenAlexW4249293021MaRDI QIDQ1362495FDOQ1362495

Authors: Lung-fei Lee 

Publication date: 12 August 1997

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(96)00007-3

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zbMATH Keywords

simulated likelihoodMarkov switching modeldisequilibrium modeldynamic switching modelregime classification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• A Markov model for switching regressions
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A New Approach to Estimating Switching Regressions
• Title not available (Why is that?)
• Estimating Mixtures of Normal Distributions and Switching Regressions
• Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
• Estimating the canonical disequilibrium model. Asymptotic theory and finite sample properties
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• Dynamic linear models with Markov-switching
• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• Title not available (Why is that?)
• A Computationally Practical Simulation Estimator for Panel Data
• Estimation in a disequilibrium model and the value of information
• Maximum Likelihood Methods for Models of Markets in Disequilibrium
• Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
• Switching Regression Models with Imperfect Sample Separation Information--With an Application on Cartel Stability

Cited In (7)

• Switching state-space models: likelihood function, filtering and smoothing
• Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
• Estimation of dynamic and ARCH Tobit models
• Mountain \(c\)-regressions method
• Properties of estimators of count data model with endogenous switching
• A smooth likelihood simulator for dynamic disequilibrium models
• Title not available (Why is that?)

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