haku: @indexterm FREQUENCY DISTRIBUTION / yhteensä: 54
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| Tekijä: | Psaradakis, Z. Sola, M. |
| Otsikko: | Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching. |
| Lehti: | Journal of Econometrics
1998 : OCT, VOL. 86:2, p. 369-386 |
| Asiasana: | PROBABILITY MARKOV CHAINS FREQUENCY DISTRIBUTION |
| Kieli: | eng |
| Tiivistelmä: | The article examines the finite-sample properties of the maximum likelihood estimator in autoregressive models subject to Markov mean and variance shifts. The results reveal that conventional asymptotic approximations to the distribution of the maximum likelihood estimator can often be poor for the sample size that are typical for annual and quarterly times series. |
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