Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
Hiroyuki Kasahara, Katsumi Shimotsu
| Year of publication: |
2019
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|---|---|
| Authors: | Kasahara, Hiroyuki ; Shimotsu, Katsumi |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 208.2019, 2, p. 442-467
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| Subject: | Asymptotic distribution | Autoregressive conditional heteroscedasticity | Maximum likelihood estimator | Markov regime switching | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.09.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012145057