FINITE-SAMPLE PROPERTIES OF THE MAXIMUM-LIKELIHOOD ESTIMATOR IN AUTOREGRESSIVE MODELS WITH MARKOV SWITCHING

Authors
PSARADAKIS Z SOLA M
Citation
Z. Psaradakis et M. Sola, FINITE-SAMPLE PROPERTIES OF THE MAXIMUM-LIKELIHOOD ESTIMATOR IN AUTOREGRESSIVE MODELS WITH MARKOV SWITCHING, Journal of econometrics, 86(2), 1998, pp. 369-386
Citations number
44
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematics, Miscellaneous","Mathematics, Miscellaneous
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
86
Issue
2
Year of publication
1998
Pages
369 - 386
Database
ISI
SICI code
0304-4076(1998)86:2<369:FPOTME>2.0.ZU;2-O
Abstract
This paper examines the finite-sample properties of the maximum likeli hood estimator in autoregressive models subject to Markov mean and var iance shifts. Our results reveal that conventional asymptotic approxim ations to the distribution of the maximum likelihood estimator can oft en be poor for the sample sizes that are typical for annual and quarte rly times series. (C) 1998 Elsevier Science S.A. All rights reserved.