Maximum likelihood estimation in Markov regime-switching models with covariate-dependent transition probabilities
Demian Pouzo, Zacharias Psaradakis, Martin Sola
| Year of publication: |
2022
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| Authors: | Pouzo, Demian ; Psaradakis, Zacharias G. ; Sola, Martin |
| Published in: |
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics. - Chichester : Wiley-Blackwell, ISSN 1468-0262, ZDB-ID 1477253-X. - Vol. 90.2022, 4, p. 1681-1710
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| 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 |
| 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 |
Persistent link: https://www.econbiz.de/10013382399