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On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities

Demian Pouzo (), Zacharias Psaradakis () and Martin Sola

Department of Economics Working Papers from Universidad Torcuato Di Tella

Abstract: We consider general hidden Markov models that may include exogenous covariates and whose discrete-state-space regime sequence has transition probabilities that are functions of observable variables. We show that the parameters of the observation conditional distribution are consistently estimated by quasi-maximum-likelihood even if the Markov dependence of the hidden regime sequence is not taken into account. Some related numerical results are also discussed.

Keywords: Consistency; covariate-dependent transition probabilities; hidden Markov model; mixture model; quasi-maximum-likelihood; misspecified model. (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2024-06
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:udt:wpecon:2024_04

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