Testing for linearity in Markov switching models: a bootstrap approach

DOI10.1007/S10260-007-0080-6zbMath1405.62115OpenAlexW2025752311MaRDI QIDQ734468

Silvestro Di Sanzo

Publication date: 13 October 2009

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: http://paduaresearch.cab.unipd.it/7096/1/2007_1_20070130102241.pdf

zbMATH Keywords

bootstrapMonte Carlo simulationnuisance parameterMarkov switching autoregressive model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

Related Items (5)

Testing for a Markov-Switching Mean in Serially Correlated Data ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series ⋮ Granger-causality in Markov switching models ⋮ OUTPUT FLUCTUATIONS PERSISTENCE: DO CYCLICAL SHOCKS MATTER?

Cites Work

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• Time-series segmentation: A model and a method
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Bootstrap-based evaluation of markov-switching time series models
• A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
• Maximum Likelihood Estimation of Misspecified Models

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