Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching

Psaradakis, Zacharias and Sola, M. (1998) Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching. Journal of Econometrics 86 (2), pp. 369-386. ISSN 0304-4076.

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Official URL: https://doi.org/10.1016/S0304-4076(98)00010-4

Abstract

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.

Metadata

Item Type:	Article
School:	School of Business, Economics & Informatics > Economics, Mathematics and Statistics
Depositing User:	Sarah Hall
Date Deposited:	27 Jul 2020 15:19
Last Modified:	27 Jul 2020 15:19
URI:	https://eprints.bbk.ac.uk/id/eprint/32685

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