{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,30]],"date-time":"2026-07-30T18:57:42Z","timestamp":1785437862918,"version":"3.56.0"},"reference-count":33,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2025,6,16]],"date-time":"2025-06-16T00:00:00Z","timestamp":1750032000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2025,10]]},"abstract":"<jats:p>This article studies the robustness of quasi-maximum-likelihood estimation in hidden Markov models when the regime-switching structure is misspecified. Specifically, we examine the case where the data-generating process features a hidden Markov regime sequence with covariate-dependent transition probabilities, but estimation proceeds under a simplified mixture model that assumes regimes are independent and identically distributed. We show that the parameters governing the conditional distribution of the observables can still be consistently estimated under this misspecification, provided certain regularity conditions hold. Our results highlight a practical benefit of using computationally simpler mixture models in settings where regime dependence is complex or difficult to model directly.<\/jats:p>","DOI":"10.1017\/s0266466625100017","type":"journal-article","created":{"date-parts":[[2025,6,16]],"date-time":"2025-06-16T03:20:46Z","timestamp":1750044046000},"page":"1229-1243","source":"Crossref","is-referenced-by-count":1,"title":["ON THE ROBUSTNESS OF MIXTURE MODELS IN THE PRESENCE OF HIDDEN MARKOV REGIMES WITH COVARIATE-DEPENDENT TRANSITION PROBABILITIES"],"prefix":"10.1017","volume":"41","author":[{"given":"Demian","family":"Pouzo","sequence":"first","affiliation":[{"id":[{"id":"https:\/\/ror.org\/01an7q238","id-type":"ROR","asserted-by":"publisher"}],"name":"University of California"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Zacharias","family":"Psaradakis","sequence":"additional","affiliation":[{"id":[{"id":"https:\/\/ror.org\/02mb95055","id-type":"ROR","asserted-by":"publisher"}],"name":"University of London"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Martin","family":"Sola","sequence":"additional","affiliation":[{"id":[{"id":"https:\/\/ror.org\/04sxme922","id-type":"ROR","asserted-by":"publisher"}],"name":"Universidad Torcuato di Tella"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2025,6,16]]},"reference":[{"key":"S0266466625100017_r9","doi-asserted-by":"publisher","DOI":"10.1214\/12-AOS1047"},{"key":"S0266466625100017_r24","doi-asserted-by":"publisher","DOI":"10.1002\/0471721182"},{"key":"S0266466625100017_r26","doi-asserted-by":"publisher","DOI":"10.2307\/2171754"},{"key":"S0266466625100017_r15","doi-asserted-by":"publisher","DOI":"10.2307\/1913471"},{"key":"S0266466625100017_r18","first-page":"440","article-title":"Identifiability of finite mixtures - with applications to circular distributions","volume":"66","author":"Holzmann","year":"2004","journal-title":"Sankhy\u0101"},{"key":"S0266466625100017_r22","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.08.010"},{"key":"S0266466625100017_r1","doi-asserted-by":"publisher","DOI":"10.2307\/2938229"},{"key":"S0266466625100017_r27","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA17249"},{"key":"S0266466625100017_r25","doi-asserted-by":"publisher","DOI":"10.1109\/TAC.2004.831156"},{"key":"S0266466625100017_r17","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9469.2006.00505.x"},{"key":"S0266466625100017_r30","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177703862"},{"key":"S0266466625100017_r8","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(82)90102-6"},{"key":"S0266466625100017_r23","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(83)90062-3"},{"key":"S0266466625100017_r19","first-page":"221","volume-title":"Proceedings of the fifth Berkeley symposium on mathematical statistics and probability","volume":"1","author":"Huber","year":"1967"},{"key":"S0266466625100017_r5","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2007.00809.x"},{"key":"S0266466625100017_r13","volume-title":"Finite mixture and Markov switching models","author":"Fr\u00fchwirth-Schnatter","year":"2006"},{"key":"S0266466625100017_r28","first-page":"381","volume-title":"ICASSP-92: 1992 IEEE international conference on acoustics, speech, and signal processing","volume":"1","author":"Ramesh","year":"1992"},{"key":"S0266466625100017_r4","doi-asserted-by":"crossref","first-page":"1809","DOI":"10.3982\/ECTA9622","article-title":"Testing for regime switching: A comment","volume":"80","author":"Carter","year":"2012","journal-title":"Econometrica"},{"key":"S0266466625100017_r21","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(99)00007-0"},{"key":"S0266466625100017_r33","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177698520"},{"key":"S0266466625100017_r31","doi-asserted-by":"publisher","DOI":"10.2307\/1912526"},{"key":"S0266466625100017_r29","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199805\/06)13:3<217::AID-JAE476>3.0.CO;2-V"},{"key":"S0266466625100017_r2","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600011117"},{"key":"S0266466625100017_r32","doi-asserted-by":"publisher","DOI":"10.1017\/CCOL0521252806"},{"key":"S0266466625100017_r10","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1158(199601)1:1<55::AID-IJFE5>3.0.CO;2-C"},{"key":"S0266466625100017_r20","first-page":"15","article-title":"A non-homogeneous hidden Markov model for precipitation occurrence","volume":"48","author":"Hughes","year":"1999","journal-title":"Applied Statistics"},{"key":"S0266466625100017_r16","first-page":"163","volume-title":"Handbook of macroeconomics","volume":"2A","author":"Hamilton","year":"2016"},{"key":"S0266466625100017_r3","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00022-6"},{"key":"S0266466625100017_r14","doi-asserted-by":"publisher","DOI":"10.1089\/cmb.2014.0258"},{"key":"S0266466625100017_r11","first-page":"689","article-title":"Long swings in the Dollar: Are they in the data and do markets know it?","volume":"80","author":"Engel","year":"1990","journal-title":"American Economic Review"},{"key":"S0266466625100017_r7","doi-asserted-by":"publisher","DOI":"10.1093\/oso\/9780198773917.003.0010"},{"key":"S0266466625100017_r6","doi-asserted-by":"publisher","DOI":"10.1111\/ectj.12068"},{"key":"S0266466625100017_r12","doi-asserted-by":"publisher","DOI":"10.1109\/TIT.2002.1003838"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466625100017","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,1,13]],"date-time":"2026-01-13T17:46:05Z","timestamp":1768326365000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466625100017\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2025,6,16]]},"references-count":33,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2025,10]]}},"alternative-id":["S0266466625100017"],"URL":"https:\/\/doi.org\/10.1017\/s0266466625100017","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2025,6,16]]}}}