Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time Inhomogeneous Markov Regimes

Download or read book Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time Inhomogeneous Markov Regimes written by Demian Pouzo and published by . This book was released on 2016 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency and local asymptotic normality of the ML estimator under general conditions which allow for autoregressive dynamics in the observable process, time-inhomogeneous Markov regime sequences, and possible model misspecification. A Monte Carlo study examines the finite-sample properties of the ML estimator. An empirical application is also discussed.