Power Properties of Nonlinearity Tests for Time Series with Markov Regimes

DOI10.2202/1558-3708.1091zbMath1080.91564OpenAlexW1980237422MaRDI QIDQ3368297

Nicola Spagnolo, Zacharias Psaradakis

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1091

zbMATH Keywords

regime switchingMonte Carlo simulationMarkov chainnonlinearity tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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