Maximum likelihood estimation in Markov regime-switching models with covariate-dependent transition probabilities

Demian Pouzo, Zacharias Psaradakis, Martin Sola

Year of publication:	2022
Authors:	Pouzo, Demian ; Psaradakis, Zacharias G. ; Sola, Martin
Subject:	Autoregressive models \| consistency \| covariate-dependent transition probabilities \| hidden Markov model \| local asymptotic normality \| Markov-switching model \| maximum likelihood \| misspecified models \| Markov-Kette \| Markov chain \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| Schätztheorie \| Estimation theory \| Wahrscheinlichkeitsrechnung \| Probability theory

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3982/ECTA17249 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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