Hello Glenn,
Can you please please describe how the maximum likelihood estimation of the coefficient in the markov-swithching models in eviews are calculated (i.e. show me how the log-likelihood fuction looks like) ?
thank you :D
Search found 2 matches
- Fri Oct 16, 2015 12:18 pm
- Forum: Estimation
- Topic: log-likelihood function markov-switching model
- Replies: 2
- Views: 3460
- Sat Sep 26, 2015 8:57 am
- Forum: Estimation
- Topic: Markov switching model with time varying transition prob.
- Replies: 1
- Views: 2811
Markov switching model with time varying transition prob.
Hello, I what to estimate the following two state model (carhart 4 factor model): R= α + β ×〖MRK〗+ s ×〖SMB〗+ h ×〖HML〗+ p ×〖MOM〗+ e where α, β, s, h, p, e are switching ( every coefficient and the variance). I have successfully estimated the model with fixed transition probabilities, and the result a...