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

On Maximum Likelihood estimation of dynamic panel data models

Bun, M.J.G.
Carree, M.A.
Juodis, A.

January 2014

We analyze the finite sample properties of maximum likelihood estimators for dynamic panel data mode...

Why you may need not worry about finite sample bias in simulated maximum likelihood estimation

Schuermann, T.
Weeks, M.
York Univ. (United Kingdom). Dept. of Economics and Related Studies

January 1994

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.93428(no 94/18) / BLDSC - Britis...

A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP

Krolzig, H.
Clements, M.P.
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:9261.960(489) / BLDSC - British Libra...

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

Psaradakis, Z.
Sola, M
Birkbeck Coll., London (United Kingdom). Dept. of Economics

January 1995

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9447(FE8/95) / BLDSC - British L...

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

Psaradakis, Zacharias
Sola, M.

January 1998

This paper examines the finite-sample properties of the maximum likelihood estimator in autoregressi...

Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes

Dufour, J.
Torres, O.
Bristol Univ. (United Kingdom). Dept. of Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.760(99/468) / BLDSC - British Li...

Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities∗

Zacharias Psaradakisa
Martin Solaa
Fabio Spagnoloc
Nicola Spagnoloc

January 2010

This paper investigates some finite-sample issues that arise in the analysis of Markov-switching aut...

Maximum likelihood estimation for exponential family auto-models

Aykroyd, R.
Haigh, J.
Zimeras, S
Bradford Univ. (United Kingdom). Dept. of Mathematics

January 1994

SIGLEAvailable from British Library Document Supply Centre- DSC:7673.051(SOR 94-60) / BLDSC - Britis...

Moments of Markov switching models

Timmerman, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(323) / BLDSC - British Libra...

Predicting Markov-switching vector autoregressive processes

Krolzig, H.
Nuffield Coll. Oxford (United Kingdom)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.9761(no 2000/31) / BLDSC - Briti...

Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities

Pouzo, D.
Psaradakis, Zacharias
Sola, M.

January 2022

This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Marko...

Consistency of the maximum likelihood estimate for non-homogeneous Markov–switching models

Pierre Ailliot
Françoise Pène

October 2015

We prove the consistency of the maximum likelihood estimator for a large family of models ...

Consistency of the maximum likelihood estimate for non-homogeneous Markov–switching models

Pierre Ailliot
Françoise Pène

October 2015

We prove the consistency of the maximum likelihood estimator for a large family of models ...

Consistency of the maximum likelihood estimate for non-homogeneous Markov–switching models

Pierre Ailliot
Françoise Pène

October 2015

We prove the consistency of the maximum likelihood estimator for a large family of models ...

Threshold autoregressive and Markov switching models An application to commercial real estate

Maitland-Smith, J.
Brooks, C
Reading Univ. (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.993(118) / BLDSC - British Libra...

On Maximum Likelihood estimation of dynamic panel data models

Bun, M.J.G.
Carree, M.A.
Juodis, A.

January 2014

We analyze the finite sample properties of maximum likelihood estimators for dynamic panel data mode...

Why you may need not worry about finite sample bias in simulated maximum likelihood estimation

Schuermann, T.
Weeks, M.
York Univ. (United Kingdom). Dept. of Economics and Related Studies

January 1994

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.93428(no 94/18) / BLDSC - Britis...

A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP

Krolzig, H.
Clements, M.P.
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:9261.960(489) / BLDSC - British Libra...

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

Psaradakis, Z.
Sola, M
Birkbeck Coll., London (United Kingdom). Dept. of Economics

January 1995

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9447(FE8/95) / BLDSC - British L...

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

Psaradakis, Zacharias
Sola, M.

January 1998

This paper examines the finite-sample properties of the maximum likelihood estimator in autoregressi...

Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes

Dufour, J.
Torres, O.
Bristol Univ. (United Kingdom). Dept. of Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.760(99/468) / BLDSC - British Li...

Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities∗

Zacharias Psaradakisa
Martin Solaa
Fabio Spagnoloc
Nicola Spagnoloc

January 2010

This paper investigates some finite-sample issues that arise in the analysis of Markov-switching aut...

Maximum likelihood estimation for exponential family auto-models

Aykroyd, R.
Haigh, J.
Zimeras, S
Bradford Univ. (United Kingdom). Dept. of Mathematics

January 1994

SIGLEAvailable from British Library Document Supply Centre- DSC:7673.051(SOR 94-60) / BLDSC - Britis...

Moments of Markov switching models

Timmerman, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(323) / BLDSC - British Libra...

Predicting Markov-switching vector autoregressive processes

Krolzig, H.
Nuffield Coll. Oxford (United Kingdom)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.9761(no 2000/31) / BLDSC - Briti...

Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities

Pouzo, D.
Psaradakis, Zacharias
Sola, M.

January 2022

This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Marko...

Consistency of the maximum likelihood estimate for non-homogeneous Markov–switching models

Pierre Ailliot
Françoise Pène

October 2015

We prove the consistency of the maximum likelihood estimator for a large family of models ...

Consistency of the maximum likelihood estimate for non-homogeneous Markov–switching models

Pierre Ailliot
Françoise Pène

October 2015

We prove the consistency of the maximum likelihood estimator for a large family of models ...

Consistency of the maximum likelihood estimate for non-homogeneous Markov–switching models

Pierre Ailliot
Françoise Pène

October 2015

We prove the consistency of the maximum likelihood estimator for a large family of models ...

Threshold autoregressive and Markov switching models An application to commercial real estate

Maitland-Smith, J.
Brooks, C
Reading Univ. (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.993(118) / BLDSC - British Libra...

On Maximum Likelihood estimation of dynamic panel data models

Bun, M.J.G.
Carree, M.A.
Juodis, A.

January 2014

We analyze the finite sample properties of maximum likelihood estimators for dynamic panel data mode...

Why you may need not worry about finite sample bias in simulated maximum likelihood estimation

Schuermann, T.
Weeks, M.
York Univ. (United Kingdom). Dept. of Economics and Related Studies

January 1994

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.93428(no 94/18) / BLDSC - Britis...

A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP

Krolzig, H.
Clements, M.P.
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:9261.960(489) / BLDSC - British Libra...

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

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

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