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.
Full Text
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call