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

被引：28

作者：

Psaradakis, Z ^{[1
]}

Sola, M

机构：

[1] Univ London Birkbeck Coll, Dept Econ, London W1P 2LL, England

[2] London Business Sch, Ctr Econ Forecasting, London NW1 4SA, England

[3] Univ Torcuato Tella, Dept Econ, RA-1428 Buenos Aires, DF, Argentina

来源：

JOURNAL OF ECONOMETRICS | 1998年 / 86卷 / 02期

关键词：

finite-sample distribution; Markov-switching model; maximum likelihood estimator; regime shifts;

D O I：

10.1016/S0304-4076(98)00010-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 1998 Elsevier Science S.A. All rights reserved.

引用

页码：369 / 386

页数：18

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