• Corpus ID: 56381855

Modelling corporate defaults: A Markov-switching Poisson log-linear autoregressive model

@article{Berentsen2018ModellingCD,
  title={Modelling corporate defaults: A Markov-switching Poisson log-linear autoregressive model},
  author={Geir Drage Berentsen and Jan Bulla and Antonello Maruotti and Baard Stove},
  journal={arXiv: Methodology},
  year={2018}
}
This article extends the autoregressive count time series model class by allowing for a model with regimes, that is, some of the parameters in the model depend on the state of an unobserved Markov chain. We develop a quasi-maximum likelihood estimator by adapting the extended Hamilton-Grey algorithm for the Poisson log-linear autoregressive model, and we perform a simulation study to check the finite sample behaviour of the estimator. The motivation for the model comes from the study of… 
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