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dc.rights.licensehttps://creativecommons.org/licenses/by-sa/2.5/ar/es_AR
dc.contributor.authorSola, Martines_AR
dc.contributor.authorPsaradakis, Zachariases_AR
dc.date.accessioned2024-05-29T16:37:54Z
dc.date.available2024-05-29T16:37:54Z
dc.date.issued2017
dc.identifier.urihttps://repositorio.utdt.edu/handle/20.500.13098/12728
dc.identifier.urihttps://doi.org/10.1016/j.ecosta.2021.04.007es_AR
dc.description.abstractThis 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.sponsorshipEste Working Paper fue publicado como artículo en la Revista Econometrics and statistics (ISSN: 2452-3062)es
dc.format.extent35 p.es_AR
dc.format.mediumapplication/pdfes_AR
dc.languageenges_AR
dc.rightsinfo:eu-repo/semantics/openAccesses_AR
dc.subjectModelos econométricoses_AR
dc.subjectEconometrics modelses_AR
dc.titleMarkov-Switching Models with State-Dependent Time-Varying Transition Probabilitieses_AR
dc.typeinfo:eu-repo/semantics/workingPaperes_AR
dc.subject.keywordMarkov-switching modelses_AR
dc.subject.keywordMaximum likelihoodes_AR
dc.subject.keywordExperimento Monte Carloes_AR
dc.subject.keywordMonte Carlo Experimentses_AR
dc.subject.keywordTime-varying transition probabilitieses_AR
dc.type.versioninfo:eu-repo/semantics/acceptedVersiones_AR


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