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Simulation-based Econometric Methods$
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Christian Gouriéroux and Alain Monfort

Print publication date: 1997

Print ISBN-13: 9780198774754

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198774753.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 27 November 2021

Applications to Switching Regime Models

Applications to Switching Regime Models

(p.145) 7 Applications to Switching Regime Models
Simulation-based Econometric Methods

Christian Gouriéroux (Contributor Webpage)

Alain Monfort (Contributor Webpage)

Oxford University Press

Considers applications to Endogenously Switching Regime Models, mainly dynamic Disequilibrium Models, and to Exogenously Switching Regime Models, mainly Hidden Markov Chain Models. The methods used are simulated PML and ML methods, and Sequentially Optimal Sampling is introduced.

Keywords:   Disequilibrium, Hidden Markov Chain, Sequentially Optimal Sampling, Switching Regimes

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