Maximum likelihood estimation in Markov regime-switching models with covariate-dependent transition probabilities
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 | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Markov-Kette | Markov chain | Wahrscheinlichkeitsrechnung | Probability theory | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation |
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