Dealing with Markov-Switching Parameters in Quantile Regression Models
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More about this item
Keywords
Quantile regression; Markov-switching; Structural breaks; Quasi-maximum likelihood estimation; EM algorithm.;All these keywords.
JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-03-09 (Econometrics)
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