Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
区制转换计量模型中极大似然估计量的渐近性质
Markov regime switching models have been widely used in numerous empirical applications in economics and finance. However, the asymptotic distribution of the maximum likelihood estimator (MLE) has not been proven for some empirically popular Markov regime switching models. In particular, the asymptotic distribution of the MLE has been unknown for models in which some elements of the transition probability matrix have the value of zero, as is commonly assumed in empirical…