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

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  • Psaradakis, Zacharias
  • Sola, Martin

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  • Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, vol. 86(2), pages 369-386, June.
    • Handle: RePEc:eee:econom:v:86:y:1998:i:2:p:369-386
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    8. Albert, James H & Chib, Siddhartha, 1993. "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 1-15, January.
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