Journal
ECONOMETRICA
Volume 90, Issue 4, Pages 1681-1710Publisher
WILEY
DOI: 10.3982/ECTA17249
Keywords
Autoregressive models; consistency; covariate-dependent transition probabilities; hidden Markov model; Markov-switching model; maximum likelihood; local asymptotic normality; misspecified models
Ask authors/readers for more resources
This paper investigates the consistency and local asymptotic normality of maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. The models consider autoregressive dynamics in the observable process, Markov regime sequences with covariate-dependent transition matrices, and possible model misspecification. A Monte Carlo study examines the finite-sample properties of the ML estimator in correctly specified and misspecified models, and an empirical application is also discussed.
This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency of the ML estimator and local asymptotic normality for the models under general conditions, which allow for autoregressive dynamics in the observable process, Markov regime sequences with covariate-dependent transition matrices, and possible model misspecification. A Monte Carlo study examines the finite-sample properties of the ML estimator in correctly specified and misspecified models. An empirical application is also discussed.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available