Markov Regime-Switching Tests: Asymptotic Critical Values

DOI10.1515/JEM-2012-0001zbMath1279.62168OpenAlexW2110601812MaRDI QIDQ2870571

Andrew V. Carter, Douglas G. Steigerwald

Publication date: 21 January 2014

Published in: Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL: http://www.escholarship.org/uc/item/5rn986z6

zbMATH Keywords

regime switchingmean reversionmixture modelsnumeric approximation

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Markov processes: hypothesis testing (62M02)

Related Items (2)

Identification-robust moment-based tests for Markov switching in autoregressive models ⋮ Robust and efficient specification tests in Markov-switching autoregressive models

Cites Work

• Testing for Regime Switching: A Comment
• Testing for Regime Switching
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