Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes
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Cited by:
- Psaradakis, Zacharias & Sola, Martin, 2024.
"Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities,"
Econometrics and Statistics, Elsevier, vol. 29(C), pages 49-63.
- Martín Sola & Zacharias Psaradakis, 2017. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Department of Economics Working Papers 2017_01, Universidad Torcuato Di Tella.
- Zacharias Psaradakis & Martin Sola, 2017. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Birkbeck Working Papers in Economics and Finance 1702, Birkbeck, Department of Economics, Mathematics & Statistics.
- repec:udt:wpecon:2017_1 is not listed on IDEAS
- Yonekura, Shouto & Beskos, Alexandros & Singh, Sumeetpal S., 2021. "Asymptotic analysis of model selection criteria for general hidden Markov models," Stochastic Processes and their Applications, Elsevier, vol. 132(C), pages 164-191.
- Feng Lingbing & Shi Yanlin, 2020. "Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(1), pages 1-27, February.
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More about this item
Keywords
Autoregressive model; consistency; hidden Markov model; Markov regimes; maximum likelihood; local asymptotic normality; misspeci ed models; time-inhomogenous Markov chain.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2018-09-03 (Econometric Time Series)
- NEP-ORE-2018-09-03 (Operations Research)
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