Identification-robust moment-based tests for Markov switching in autoregressive models
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Publication:5864645
DOI10.1080/07474938.2017.1307548OpenAlexW3020932207MaRDI QIDQ5864645
Jean-Marie Dufour, Richard Luger
Publication date: 8 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.00029
Markov chainsregime switchingexact inferenceparametric bootstrapmixture distributionsMonte Carlo tests
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