Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models

2015 ◽  
Vol 100 ◽  
pp. 192-202 ◽  
Author(s):  
Abdelouahab Bibi ◽  
Ahmed Ghezal
Keyword(s):  
Time Series ◽  
Maximum Likelihood ◽  
Maximum Likelihood Estimator ◽  
Markov Switching ◽  
Time Series Models ◽  
Likelihood Estimator ◽  
Quasi Maximum Likelihood

Spurious Break

1995 ◽  
Vol 11 (4) ◽  
pp. 736-749 ◽  
Author(s):  
Luis C. Nunes ◽  
Chung-Ming Kuan ◽  
Paul Newbold
Keyword(s):  
Time Series ◽  
Maximum Likelihood ◽  
Maximum Likelihood Estimator ◽  
Asymptotic Distribution ◽  
Likelihood Estimator ◽  
Data Generating Process ◽  
Quasi Maximum Likelihood ◽  
General Conditions

A quasi-maximum likelihood estimator of the break date is analyzed. Consistency of the estimator is demonstrated under very general conditions, provided that the data-generating process is not integrated. However, the asymptotic distribution of the estimator is quite different for time series that are integrated of order one. In that case, when there is no break, the analyst can be spuriously led to the estimation of a break near the middle of the time series.

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