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Abstract:

This paper examines the finite-sample properties of the maximum likelihood estimator in autoregressive models subject to Markov mean and variance shifts. Our results reveal that conventional asymptotic approximations to the distribution of the maximum likelihood estimator can often be poor for the sample sizes that are typical for annual and quarterly times series. © 1998 Elsevier Science S.A. All rights reserved.

Registro:

Documento: Artículo
Título:Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching
Autor:Psaradakis, Z.; Sola, M.
Filiación:Department of Economics, Birkbeck College, University of London, London W1P 2LL, United Kingdom
Centre for Economic Forecasting, London Business School, London NW1 4SA, United Kingdom
Department of Economics, Universidad Torcuato di Tella, (1428) Buenos Aires, Argentina
Palabras clave:Finite-sample distribution; Markov-switching model; Maximum likelihood estimator; Regime shifts
Año:1998
Volumen:86
Número:2
Página de inicio:369
Página de fin:386
DOI: http://dx.doi.org/10.1016/S0304-4076(98)00010-4
Título revista:Journal of Econometrics
Título revista abreviado:J Econom
ISSN:03044076
CODEN:JECMB
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03044076_v86_n2_p369_Psaradakis

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Citas:

---------- APA ----------
Psaradakis, Z. & Sola, M. (1998) . Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching. Journal of Econometrics, 86(2), 369-386.
http://dx.doi.org/10.1016/S0304-4076(98)00010-4
---------- CHICAGO ----------
Psaradakis, Z., Sola, M. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching" . Journal of Econometrics 86, no. 2 (1998) : 369-386.
http://dx.doi.org/10.1016/S0304-4076(98)00010-4
---------- MLA ----------
Psaradakis, Z., Sola, M. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching" . Journal of Econometrics, vol. 86, no. 2, 1998, pp. 369-386.
http://dx.doi.org/10.1016/S0304-4076(98)00010-4
---------- VANCOUVER ----------
Psaradakis, Z., Sola, M. Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching. J Econom. 1998;86(2):369-386.
http://dx.doi.org/10.1016/S0304-4076(98)00010-4