Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
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Publication:6097545
DOI10.1016/j.jmva.2023.105164zbMath1520.62106OpenAlexW4321350617MaRDI QIDQ6097545
Publication date: 5 June 2023
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2023.105164
maximum likelihood estimatesnonlinear time seriesasymptotic covarianceMarkov switching model with endogenous variablestesting for endogeneity
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)
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