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 |
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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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