✦ LIBER ✦

ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV-SWITCHING VAR(CH) MODELS

✍ Scribed by Cavicchioli, Maddalena

Book ID: 126451705
Publisher: John Wiley and Sons
Year: 2014
Tongue: English
Weight: 190 KB
Volume: 35
Category: Article
ISSN: 0143-9782
DOI: 10.1111/jtsa.12085

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There was an error in Hansen (1992). I am very grateful to James Hamilton for pointing out the error. Equations ( 2) and (3) in the original read where Q ( a ) is a mean zero Gaussian process with covariance function K(ai, a21 = E(q;(ai)~i(ad). While equation ( 2) is correct, (3) is not. Instead,