Testing for observation-dependent regime switching in mixture autoregressive models
Mika Meitz, Pentti Saikkonen
| Year of publication: |
2021
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|---|---|
| Authors: | Meitz, Mika ; Saikkonen, Pentti |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,3, p. 601-624
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| Subject: | Gaussian mixture autoregressive model | Higher-order approximation of the log-likelihood | Likelihood ratio test | Logistic mixture autoregressive model | Singular information matrix | Modellierung | Scientific modelling | Statistischer Test | Statistical test | Schätztheorie | Estimation theory | VAR-Modell | VAR model | Autokorrelation | Autocorrelation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.04.048 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619762