Testing for Regime Switching: A Comment
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Publication:2859517
DOI10.3982/ECTA9622zbMath1274.62545MaRDI QIDQ2859517
Andrew V. Carter, Douglas G. Steigerwald
Publication date: 8 November 2013
Published in: Econometrica (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)
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Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ Identification-robust moment-based tests for Markov switching in autoregressive models ⋮ Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series ⋮ Markov Regime-Switching Tests: Asymptotic Critical Values
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