Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
نویسندگان
چکیده
منابع مشابه
Asymptotic Properties of the Maximum Likelihood Estimator in Autoregressive Models with Markov Regime by Randal Douc,1
An autoregressive process with Markov regime is an autoregressive process for which the regression function at each time point is given by a nonobservable Markov chain. In this paper we consider the asymptotic properties of the maximum likelihood estimator in a possibly nonstationary process of this kind for which the hidden state space is compact but not necessarily finite. Consistency and asy...
متن کاملAsymptotic properties of autoregressive regime-switching models
The statistical properties of the likelihood ratio test statistic (LRTS) for autoregressive regime-switching models are addressed in this paper. This question is particularly important for estimating the number of regimes in the model. Our purpose is to extend the existing results for mixtures (Liu and Shao, 2003) and hidden Markov chains (Gassiat, 2002). First, we study the case of mixtures of...
متن کاملASYMPTOTIC DISTRIBUTIONS OF QUASI-MAXIMUM LIKELIHOOD ESTIMATORS FOR SPATIAL AUTOREGRESSIVE MODELS BY LUNG-FEI LEE This paper investigates asymptotic properties of the maximim likelihood estimator and the quasi-maximum likelihood estimator for the spatial autore-
This paper investigates asymptotic properties of the maximim likelihood estimator and the quasi-maximum likelihood estimator for the spatial autoregressive model. The rates of convergence of those estimators may depend on some general features of the spatial weights matrix of the model. It is important to make the distinction with different spatial scenarios. Under the scenario that each unit w...
متن کاملAsymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion
A parameter estimation problem is considered for a diagonalizable stochastic evolution equation using a finite number of the Fourier coefficients of the solution. The equation is driven by additive noise that is white in space and fractional in time with the Hurst parameter H ≥ 1/2. The objective is to study asymptotic properties of the maximum likelihood estimator as the number of the Fourier ...
متن کاملAsymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion
A parameter estimation problem is considered for a diagonaliazable stochastic evolution equation using a finite number of the Fourier coefficients of the solution. The equation is driven by additive noise that is white in space and fractional in time with the Hurst parameter H ≥ 1/2. The objective is to study asymptotic properties of the maximum likelihood estimator as the number of the Fourier...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2019
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2018.09.019