| dc.rights.license | https://creativecommons.org/licenses/by-sa/2.5/ar/ | es_AR |
| dc.contributor.author | Sola, Martin | es_AR |
| dc.contributor.author | Psaradakis, Zacharias | es_AR |
| dc.date.accessioned | 2024-05-29T16:37:54Z | |
| dc.date.available | 2024-05-29T16:37:54Z | |
| dc.date.issued | 2017 | |
| dc.identifier.uri | https://repositorio.utdt.edu/handle/20.500.13098/12728 | |
| dc.identifier.uri | https://doi.org/10.1016/j.ecosta.2021.04.007 | es_AR |
| dc.description.abstract | This paper proposes a model which allows for discrete stochastic breaks in the timevarying
transition probabilities of Markov-switching models with autoregressive dynamics.
An extensive simulation study is undertaken to examine the properties of the
maximum-likelihood estimator and related statistics, and to investigate the implications
of misspecification due to unaccounted changes in the parameters of the Markov
transition mechanism. An empirical application that examines the relationship between
Argentinian sovereign bond spreads and output growth is also discussed. | es_AR |
| dc.description.sponsorship | Este Working Paper fue publicado como artículo en la Revista Econometrics and statistics (ISSN: 2452-3062) | es |
| dc.format.extent | 35 p. | es_AR |
| dc.format.medium | application/pdf | es_AR |
| dc.language | eng | es_AR |
| dc.rights | info:eu-repo/semantics/openAccess | es_AR |
| dc.subject | Modelos econométricos | es_AR |
| dc.subject | Econometrics models | es_AR |
| dc.title | Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities | es_AR |
| dc.type | info:eu-repo/semantics/workingPaper | es_AR |
| dc.subject.keyword | Markov-switching models | es_AR |
| dc.subject.keyword | Maximum likelihood | es_AR |
| dc.subject.keyword | Experimento Monte Carlo | es_AR |
| dc.subject.keyword | Monte Carlo Experiments | es_AR |
| dc.subject.keyword | Time-varying transition probabilities | es_AR |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | es_AR |
