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Closed-form likelihood function of Markov-switching models

✍ Scribed by Minxian Yang

Book ID: 117331920
Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 68 KB
Volume: 70
Category: Article
ISSN: 0165-1765
DOI: 10.1016/s0165-1765(00)00378-5

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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,