Finite-sample properties of the bootstrap estimator in a Markov-switching model
AbstractThe size distortion problem is clearly indicative of the small-sample approximation in the Markov-switching regression model. This paper shows that the bootstrap procedure can relieve the effects that this problem has. Our Monte Carlo simulation results reveal that the bootstrap maximum likelihood asymptotic approximations to the distribution can often be good when the sample size is small.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.
Volume (Year): 28 (2001)
Issue (Month): 7 ()
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