Closed-form likelihood function of Markov-switching models
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References listed on IDEAS
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Gable, Jeff & van Norden, Simon & Vigfusson, Robert, 1997.
"Analytical Derivatives for Markov Switching Models,"
Springer;Society for Computational Economics, vol. 10(2), pages 187-194, May.
- Jeff Gable & Simon van Norden & Robert Vigfusson, "undated". "Analytical Derivatives for Markov Switching Models," Staff Working Papers 95-7, Bank of Canada.
- Jeff Gable & Simon van Norden & Robert Vigfusson, 1995. "Analytical Derivatives for Markov Switching Models," GE, Growth, Math methods 9508001, EconWPA.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
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