Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities
This paper investigates some finite-sample issues that arise in the analysis of Markovswitching autoregressive models with time-varying probabilities. An extensive simulation study is undertaken to examine the small-sample properties of the maximum likelihood estimator and related statistics, and to investigate the implications of misspecification due to changes in the parameters of the transition mechanism.
|Date of creation:||Dec 2010|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.utdt.edu/ver_contenido.php?id_contenido=439&id_item_menu=568|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Brunetti, Celso & Scotti, Chiara & Mariano, Roberto S. & Tan, Augustine H.H., 2008.
"Markov switching GARCH models of currency turmoil in Southeast Asia,"
Emerging Markets Review,
Elsevier, vol. 9(2), pages 104-128, June.
- Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan, 2007. "Markov switching GARCH models of currency turmoil in southeast Asia," International Finance Discussion Papers 889, Board of Governors of the Federal Reserve System (U.S.).
- Charles Engel & Craig S. Hakkio, 1994.
"The Distribution of Exchange Rates in the EMS,"
NBER Working Papers
4834, National Bureau of Economic Research, Inc.
- Massimo Guidolin & Allan Timmerman, 2005.
"An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns,"
2005-003, Federal Reserve Bank of St. Louis.
- Allan Timmermann & Massimo Guidolin, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 1-22.
- Simon van Norden & Huntley Schaller & ), 1995.
"Regime Switching in Stock Market Returns,"
- 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.
- Geert Bekaert & Campbell R. Harvey, 1994.
"Time-Varying World Market Integration,"
NBER Working Papers
4843, National Bureau of Economic Research, Inc.
- Patricia Alvarez-Plata & Mechthild Schrooten, 2006.
"The Argentinean Currency Crisis: A Markov-Switching Model Estimation,"
The Developing Economies,
Institute of Developing Economies, vol. 44(1), pages 79-91.
- Patricia Alvarez-Plata & Mechthild Schrooten, 2003. "The Argentinean Currency Crisis: A Markov-Switching Model Estimation," Discussion Papers of DIW Berlin 348, DIW Berlin, German Institute for Economic Research.
- Massimo Guidolin & Allan Timmermann, 2008.
"International asset allocation under regime switching, skew, and kurtosis preferences,"
Review of Financial Studies,
Society for Financial Studies, vol. 21(2), pages 889-935, April.
- Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis.
- Andrew J. Filardo, 1993.
"Business cycle phases and their transitional dynamics,"
Research Working Paper
93-14, Federal Reserve Bank of Kansas City.
- Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 299-308, July.
- Hall, Stephen & Psaradakis, Zacharias & Sola, Martin, 1997. "Switching error-correction models of house prices in the United Kingdom," Economic Modelling, Elsevier, vol. 14(4), pages 517-527, October.
- Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
When requesting a correction, please mention this item's handle: RePEc:udt:wpecon:2010-12. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Martin Cecilia Lafuente)
If references are entirely missing, you can add them using this form.