Finite-sample properties of the bootstrap estimator in a Markov-switching model

T. W. Ho*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


The size distortion problem is clearly indicative of the small-sample approximation in the Markov-switching regression model. This paper shows that the bootstrap procedure can relieve the effects that this problem has. Our Monte Carlo simulation results reveal that the bootstrap maximum likelihood asymptotic approximations to the distribution can often be good when the sample size is small.

Original languageEnglish
Pages (from-to)835-842
Number of pages8
JournalJournal of Applied Statistics
Issue number7
Publication statusPublished - 2001
Externally publishedYes

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty


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