Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching
This paper examines the finite-sample properties of the maximum likelihood estimator in autoregressive models subject to Markov mean and variance shifts. Our results reveal that conventional asymptotic approximations to the distribution of the maximum likelihood estimator can often be poor for the s...
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1998
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| Acceso en línea: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03044076_v86_n2_p369_Psaradakis http://hdl.handle.net/20.500.12110/paper_03044076_v86_n2_p369_Psaradakis |
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paper:paper_03044076_v86_n2_p369_Psaradakis |
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paper:paper_03044076_v86_n2_p369_Psaradakis2023-06-08T15:29:47Z Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching Finite-sample distribution Markov-switching model Maximum likelihood estimator Regime shifts This paper examines the finite-sample properties of the maximum likelihood estimator in autoregressive models subject to Markov mean and variance shifts. Our results reveal that conventional asymptotic approximations to the distribution of the maximum likelihood estimator can often be poor for the sample sizes that are typical for annual and quarterly times series. © 1998 Elsevier Science S.A. All rights reserved. 1998 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03044076_v86_n2_p369_Psaradakis http://hdl.handle.net/20.500.12110/paper_03044076_v86_n2_p369_Psaradakis |
| institution |
Universidad de Buenos Aires |
| institution_str |
I-28 |
| repository_str |
R-134 |
| collection |
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) |
| topic |
Finite-sample distribution Markov-switching model Maximum likelihood estimator Regime shifts |
| spellingShingle |
Finite-sample distribution Markov-switching model Maximum likelihood estimator Regime shifts Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching |
| topic_facet |
Finite-sample distribution Markov-switching model Maximum likelihood estimator Regime shifts |
| description |
This paper examines the finite-sample properties of the maximum likelihood estimator in autoregressive models subject to Markov mean and variance shifts. Our results reveal that conventional asymptotic approximations to the distribution of the maximum likelihood estimator can often be poor for the sample sizes that are typical for annual and quarterly times series. © 1998 Elsevier Science S.A. All rights reserved. |
| title |
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching |
| title_short |
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching |
| title_full |
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching |
| title_fullStr |
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching |
| title_full_unstemmed |
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching |
| title_sort |
finite-sample properties of the maximum likelihood estimator in autoregressive models with markov switching |
| publishDate |
1998 |
| url |
https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03044076_v86_n2_p369_Psaradakis http://hdl.handle.net/20.500.12110/paper_03044076_v86_n2_p369_Psaradakis |
| _version_ |
1768546349263880192 |