Research

Publication

Li, Chaojun, and Yan Liu. "Asymptotic properties of the maximum likelihood estimator in regime-switching models with time-varying transition probabilities." The Econometrics Journal 26.1 (2023): 67-87. 

Working Papers

"Asymptotic Properties of Approximate Maximum Likelihood Estimator in Markov-Switching State-Space Models" (draft available on request).

“Efficient score computation and expectation-maximization algorithm in regime-switching models,” with Shi Qiu.

"Estimating Large-Dimensional Factor Models with Multiple Structural Changes"