A New Regime Switching Model with State–Varying Endogeneity
In this paper, we propose a state-varying endogenous regime switching model (the SERS model), which includes the endogenous regime switching model by Chang et al., the CCP model, as a special case. To estimate the unknown parameters in the SERS model, we propose a maximum likelihood estimation metho...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2018-12-01
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| Series: | Journal of Management Science and Engineering |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232019300484 |