Optimal Test for Markov Switching Parameters
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Publication:4615860
DOI10.3982/ECTA8609zbMath1410.62159OpenAlexW1701296759MaRDI QIDQ4615860
Marine Carrasco, Liang Hu, Werner Ploberger
Publication date: 29 January 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta8609
bootstrapNeyman-Pearson lemmaMarkov switching modelinformation matrix testoptimal testrandom coefficients model
Bootstrap, jackknife and other resampling methods (62F40) Markov processes: hypothesis testing (62M02)
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