A general autoregressive model with Markov switching: Estimation and consistency

Abstract

In this paper, a general autoregressive model with Markov switching is considered, where the autoregression may be of an infinite order. The consistency of the maximum likelihood estimators for this model is obtained under regularity assumptions. Examples of finite and infinite order autoregressive models with Markov switching are discussed. Simulation studies with these examples illustrate the consistency and asymptotic normality of the estimators

Keywords

asymptotic normality - consistency - general autoregressive model - Markov switching - MLE

Published in

Mathematical Methods of Statistics
2008, volume: 17, number: 3, pages: 228-240
Publisher: Allerton Press, Inc

SLU Authors

• Xie, Yingfu

  • Department of Forest Economics, Swedish University of Agricultural Sciences
    

• Yu, Jun

  • Department of Forest Economics, Swedish University of Agricultural Sciences
    

• Ranneby, Bo

  • Department of Forest Economics, Swedish University of Agricultural Sciences
    

UKÄ Subject classification

Probability Theory and Statistics

Publication identifier

• DOI: https://doi.org/10.3103/S1066530708030046

Permanent link to this page (URI)

https://res.slu.se/id/publ/18911