A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities

Demian Pouzo (), Zacharias Psaradakis and Martin Sola

Department of Economics Working Papers from Universidad Torcuato Di Tella

Abstract: We consider hidden Markov models with a discrete-valued regime sequence whose transition probabilities are covariate-dependent. We show that consistent estimation of the parameters of the conditional distribution of the observable variables is possible via quasi-maximum-likelihood based on a (misspecified) mixture model without Markov dependence. Some related numerical results are also discussed.

Keywords: Consistency; covariate-dependent transition probabilities; hidden Markov model; mixture model; quasi-maximum-likelihood; misspecified model. (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2023-02
New Economics Papers: this item is included in nep-dcm
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Working Paper: A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:udt:wpecon:2023_01

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