SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL |
| |
Authors: | Seisho Sato Naoto Kunitomo |
| |
Affiliation: | Institute of Statistical Mathematics, Tokyo and University of Tokyo |
| |
Abstract: | Abstract. The simultaneous switching autoregressive (SSAR) model proposed by Kunitomo and Sato (A non-linearity in economic time series and disequilibrium econometric models. In Theory and Application of Mathematical Statistics (ed. A. Takemura). Tokyo:University of Tokyo Press (in Japanese), 1994; Asymmetry in economic time series and simultaneous switching autoregressive model. Struct. Change Econ. Dyn. , forthcoming (1994).) is a Markovian non-linear time series model. We investigate the finite sample as well as the asymptotic properties of the least squares estimator and the maximum likelihood (ML) estimator. Due to a specific simultaneity involved in the SSAR model, the least squares estimator is badly biased. However, the ML estimator under the assumption of Gaussian disturbances gives reasonable estimates. |
| |
Keywords: | Simultaneous switching autoregressive model non-linear time series least squares estimator maximum likelihood estimator finite sample properties asymptotic properties |
|