Consistent Estimation of Linear and Non‐linear Autoregressive Models with Markov Regime

Vikram Krishnamurthy and Tobias Ryden

Journal of Time Series Analysis, 1998, vol. 19, issue 3, 291-307

Abstract: An autoregressive process with Markov regime is an autoregressive process for which the regression function at each time‐point is given by a (non‐observable) Markov chain. We examine maximum likelihood estimation for such models and show consistency of a conditional maximum likelihood estimator. Also identifiability issues are discussed

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:19:y:1998:i:3:p:291-307

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