Misspecified structural change, threshold, and Markov-switching models.

DOI10.1016/S0304-4076(02)00112-4zbMath1044.62091MaRDI QIDQ1858953

Marine Carrasco

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

tableshypothesis testingnuisance parametersnonlinear modelsasymptotic theory

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (6)

Frequent or systematic changes? Discussion on ``Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection. ⋮ Nonlinear Time Series Models and Model Selection ⋮ On the econometrics of the geometric lag model ⋮ How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes? ⋮ Multi-regime models for nonlinear nonstationary time series ⋮ Testing linearity against threshold effects: uniform inference in quantile regression

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing nested or non-nested hypotheses
• Testing for threshold autoregression
• Change-points in nonparametric regression analysis
• The performance of the likelihood ratio test when the model is incorrect
• Bayes factors and nonlinearity: Evidence from economic time series
• Mixing: Properties and examples
• Autoregressive conditional heteroskedasticity and changes in regime
• On geometric ergodicity of nonlinear autoregressive models
• Specification testing when score test statistics are identically zero
• Testing for a change in the parameter values and order of an autoregressive model
• Specification testing in Markov-switching time-series models
• Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative
• Moments of Markov switching models
• Are apparent findings of nonlinearity due to structural instability in economic time series?
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Inference in TAR Models
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• On stability of nonlinear AR processes with Markov switching
• Time Series and Dynamic Models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Maximum Likelihood Estimation of Misspecified Models
• Stationarity of multivariate Markov-switching ARMA models

This page was built for publication: Misspecified structural change, threshold, and Markov-switching models.