کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097287 | 1376580 | 2009 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper proposes a two-step maximum likelihood estimation (MLE) procedure to deal with the problem of endogeneity in Markov-switching regression models. A joint estimation procedure provides us with an asymptotically most efficient estimator, but it is not always feasible, due to the 'curse of dimensionality' in the matrix of transition probabilities. A two-step estimation procedure, which ignores potential correlation between the latent state variables, suffers less from the 'curse of dimensionality', and it provides a reasonable alternative to the joint estimation procedure. In addition, our Monte Carlo experiments show that the two-step estimation procedure can be more efficient than the joint estimation procedure in finite samples, when there is zero or low correlation between the latent state variables.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 148, Issue 1, January 2009, Pages 46-55
Journal: Journal of Econometrics - Volume 148, Issue 1, January 2009, Pages 46-55
نویسندگان
Chang-Jin Kim,