Finance & Financial Econometrics : 
Time: 11.00 am
Date: 04th of April 2024
Room 3001

Leopoldo CATANIA (Aarhus University) “A new way to Regime Switching Autoregressions”

Abstract : We discuss a new way to construct Regime Switching Autoregressions making use of a non-Markovian unobserved process. We show that, in a special case, the likelihood implied by this new specification is identical to the classical Markov Switching Autoregression one. The general case leads to more flexible specifications with tractable likelihood functions. We discuss the statistical properties of the model and establish conditions for the consistency and asymptotic normality of the Maximum Likelihood Estimator. An application to macro-economic variables shows that the new specification leads to better estimates and predictions.

Organizers: 

Jean-Michel ZAKOIAN (CREST)

Sponsors:
CREST