A general autoregressive model with Markov switching: estimation and consistency

DOI10.3103/S1066530708030046zbMATH Open1231.62165MaRDI QIDQ734539FDOQ734539

Authors: Y. Xie, B. Ranneby, J. Yu 

Publication date: 13 October 2009

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

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• Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
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• Consistency of the maximum likelihood estimate for non-homogeneous Markov-switching models
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zbMATH Keywords

asymptotic normalityMLE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Limited Memory Algorithm for Bound Constrained Optimization
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• Title not available (Why is that?)
• Title not available (Why is that?)
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• Maximum-likelihood estimation for hidden Markov models
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Products of Random Matrices
• Probabilistic Functions of Finite State Markov Chains
• Subadditive ergodic theory
• Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime
• Stationarity of multivariate Markov-switching ARMA models
• An improved subadditive ergodic theorem
• Stochastic sampling algorithms for state estimation of jump Markov linear systems
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.
• Asymptotic normality of the maximum likelihood estimator in state space models
• Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
• STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
• On stability of nonlinear AR processes with Markov switching
• On square-integrability of an AR process with Markov switching

Cited In (17)

• Bayesian analysis of switching ARCH models
• Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
• Spectral representation and autocovariance structure of Markov switching DSGE models
• Consistent estimation of the number of regimes in Markov-switching autoregressive models
• SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
• Some theoretical results on Markov-switching autoregressive models with gamma innovations
• Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
• Testing for regime switching: a comment
• Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
• On Markov-switching periodicARMAmodels
• A proof of consistency of the MLE for nonlinear Markov-switching AR processes
• Spectral density of Markov-switching VARMA models
• SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL
• Structural vector autoregressions with Markov switching
• Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
• Autoregressive processes with data-driven regime switching
• Markov-switching generalized additive models

Uses Software

• LBFGS-B

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