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

Journal of Econometrics

Volumn 86, Issue 2, 1998, Pages 369-386

  Psaradakis, Zacharias ^a   Sola, Martin ^a,b,c  

^a UNIVERSITY OF LONDON   (United Kingdom)

^b LONDON BUSINESS SCHOOL   (United Kingdom)

^c UNIVERSIDAD TORCUATO DI TELLA   (Argentina)

Author keywords

Finite sample distribution; Markov switching model; Maximum likelihood estimator; Regime shifts

Indexed keywords

EID: 0003586506     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(98)00010-4     Document Type: Article

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