A general autoregressive model with Markov switching: estimation and consistency
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Cites work
- scientific article; zbMATH DE number 3493681 (Why is no real title available?)
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- scientific article; zbMATH DE number 846906 (Why is no real title available?)
- A Limited Memory Algorithm for Bound Constrained Optimization
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- An improved subadditive ergodic theorem
- Asymptotic normality of the maximum likelihood estimator in state space models
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- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional heteroskedasticity driven by hidden Markov chains
- Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime
- Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
- Inference in hidden Markov models.
- Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.
- Maximum-likelihood estimation for hidden Markov models
- Note on the Consistency of the Maximum Likelihood Estimate
- On square-integrability of an AR process with Markov switching
- On stability of nonlinear AR processes with Markov switching
- Probabilistic Functions of Finite State Markov Chains
- Products of Random Matrices
- STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
- Stationarity of multivariate Markov-switching ARMA models
- Statistical Inference for Probabilistic Functions of Finite State Markov Chains
- Stochastic sampling algorithms for state estimation of jump Markov linear systems
- Subadditive ergodic theory
Cited in
(25)- Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime
- A proof of consistency of the MLE for nonlinear Markov-switching AR processes
- Spectral density of Markov-switching VARMA models
- Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
- Autoregressive processes with data-driven regime switching
- A transitional Markov switching autoregressive model
- Some theoretical results on Markov-switching autoregressive models with gamma innovations
- Consistency of the maximum likelihood estimate for non-homogeneous Markov-switching models
- Structural vector autoregressions with Markov switching
- Consistent estimation of the number of regimes in Markov-switching autoregressive models
- Analysis of the likelihood function for Markov-switching VAR(CH) models
- Consistency of maximum likelihood estimators for the regime-switching GARCH model
- Spectral representation and autocovariance structure of Markov switching DSGE models
- Testing for regime switching: a comment
- Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
- Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
- Bayesian analysis of switching ARCH models
- On Markov-switching periodicARMAmodels
- Markov-switching generalized additive models
- A gradual switching regression model with autocorrelated errors
- Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
- SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL
- SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
- A note on Phillips (1991): ``A constrained maximum likelihood approach to estimating switching regressions
- Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
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