"Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities"

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, and to investigate the implications of misspecification due to changes in the parameters of the transition mechanism.

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Year of publication:	2010-12
Authors:	Solá, Martín ; Psaradakis, Zacharias ; Spagnolo, Fabio ; Spagnolo, Nicola
Institutions:	Departamento de Economía, Universidad Torcuato Di Tella
Subject:	Markov switching \| Monte Carlo experiments \| Time-varying transition probabilities

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Extent:	application/pdf
Series:	Department of Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	43 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008783612