Optimal test for Markov switching parameters

Econometrica

Volumn 82, Issue 2, 2014, Pages 765-784

  Carrasco, Marine ^a   Hu, Liang ^b   Ploberger, Werner ^c  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

^b WAYNE STATE UNIVERSITY   (United States)

^c WASHINGTON UNIVERSITY   (United States)

Author keywords

Information matrix test; Markov switching model; Neyman Pearson lemma; Optimal test; Random coefficients model

Indexed keywords

EID: 84897030246     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.3982/ECTA8609     Document Type: Article

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