Robust and efficient specification tests in Markov-switching autoregressive models

DOI10.1007/s11203-022-09277-5OpenAlexW4293567441MaRDI QIDQ2694804

Masaru Chiba

Publication date: 4 April 2023

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-022-09277-5

zbMATH Keywords

Markov-switching modelLagrange multiplier testBartlett identity

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Uses Software

• nlmdl

Cites Work

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