1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2022★ 1 cited
Recursive Score and Hessian Computation in Regime-Switching Models
Chaojun Li, Shi Qiu
This study proposes a recursive and easy-to-implement algorithm to compute the score and Hessian matrix in general regime-switching models. We use simulation to compare the asympto…
econ.EM2020
Asymptotic Properties of the Maximum Likelihood Estimator in Regime-Switching Models with Time-Varying Transition Probabilities
Chaojun Li, Yan Liu
We prove the asymptotic properties of the maximum likelihood estimator (MLE) in time-varying transition probability (TVTP) regime-switching models. This class of models extends the…