Do Markov-switching models capture nonlinearities in the data? Tests using nonparametric methods.

DOI10.1016/S0378-4754(03)00106-XzbMath1038.62035MaRDI QIDQ1427756

Robert V. Breunig, Adrian R. Pagan

Publication date: 14 March 2004

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

Markov-switching modelsNonparametric estimationSimulation methods

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items (1)

Distribution switching in financial time series

Cites Work

• Unnamed Item
• Geometric equivalence of groups.
• Remarks on Some Nonparametric Estimates of a Density Function
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• On Estimation of a Probability Density Function and Mode

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