The Analytical Covariance Matrix for Regime - Switch in Models

Andrea B and Benedikt R
Additional contact information
Andrea B: Department of Economics, University of Münster, Germany
Benedikt R: Department of Economics, University of Münster, Germany

Biostatistics and Biometrics Open Access Journal, 2017, vol. 4, issue 1, 1-3

Abstract: This letter provides an analytical solution for the covariance matrix related to the (mean) parameters of the standard Markov-switching model. The importance of avoiding numerical procedures to estimate this matrix is also highlighted. Simulations are also performed in order to verify, in small samples, the actual advantage of the analytical formula.

Keywords: Biometrics Open Access Journal; Biostatistics and Biometrics; Biostatistics and Biometrics Open Access Journal; Open Access Journals; biometrics journal; biometrics articles; biometrics journal reference; biometrics journal impact factor; biometrics and biostatistics journal impact factor; journal of biometrics; open access juniper publishers; juniper publishers reivew (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://juniperpublishers.com/bboaj/pdf/BBOAJ.MS.ID.555626.pdf (application/pdf)
https://juniperpublishers.com/bboaj/BBOAJ.MS.ID.555626.php (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adp:jbboaj:v:4:y:2017:i:1:p:1-3

DOI: 10.19080/BBOAJ.2017.04.555626

Access Statistics for this article

Biostatistics and Biometrics Open Access Journal is currently edited by Sophia Mathis

More articles in Biostatistics and Biometrics Open Access Journal from Juniper Publishers Inc.
Bibliographic data for series maintained by Robert Thomas ().