Asymptotic properties of the maximum likelihood estimator in regime-switching models with time-varying transition probabilities
时变转移概率状态转换模型中最大似然估计量的渐近性质
Summary Time-varying transition probability (TVTP) regime-switching models extend the constant regime transition probability in Markov-switching models to include information from observations. We show consistency and asymptotic normality of the maximum likelihood estimator (MLE) in general TVTP regime-switching models where the conditional distribution of $Y_t$ depends on lagged regimes. Consistency of the MLE is also shown under misspecification. The assumptions are…