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    Markov-Switching Models with state-dependent time-varying transition probabilities

    Psaradakis, Zacharias (2017) Markov-Switching Models with state-dependent time-varying transition probabilities. Working Paper. Birkbeck College, University of London, London, UK.

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    Abstract

    This paper proposes a model which allows for discrete stochastic breaks in the time-varying transition probabilities of Markov-switching models with autoregressive dynamics. An extensive simulation study is undertaken to examine the properties of the maximum-likelihood estimator and related statistics, and to investigate the implications of misspecification due to unaccounted changes in the parameters of the Markov transition mechanism. An empirical application that examines the relationship between Argentinian sovereign bond spreads and output growth is also discussed.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: ISSN 1745-8587: BWPEF 1702
    Keyword(s) / Subject(s): Markov-switching models; Maximum likelihood; Monte Carlo experiments; Time-varying transition probabilities
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 04 Jul 2017 10:28
    Last Modified: 04 Jul 2017 10:39
    URI: http://eprints.bbk.ac.uk/id/eprint/19116

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