A General Autoregressive Model with Markov Switching: Estimation and Consistency
نویسندگان
چکیده
In this paper, a general autoregressive model with Markov switching is considered, where the autoregression may be of an infinite order. The consistency of the maximum likelihood estimators for this model is obtained under regular assumptions. Examples of finite and infinite order Markov switching AR models are discussed. The simulation study with these examples illustrates the consistency and asymptotic normality of the estimators.
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تاریخ انتشار 2007