Solá, Martín; Psaradakis, Zacharias; Spagnolo, Fabio; … - Departamento de Economía, Universidad Torcuato Di Tella - 2010
This paper investigates some finite-sample issues that arise in the analysis of Markovswitching autoregressive models with time-varying probabilities. An extensive simulation study is undertaken to examine the small-sample properties of the maximum likelihood estimator and related statistics,...