Markov Regime-Switching Tests: Asymptotic Critical Values

Journal of Econometric Methods

Volumn 2, Issue 1, 2013, Pages 25-34

  Carter, Andrew V ^a   Steigerwald, Douglas G ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

mean reversion; mixture models; numeric approximation; regime switching

Indexed keywords

EID: 85001080298     PISSN: None     EISSN: 21566674     Source Type: Journal    
DOI: 10.1515/jem-2012-0001     Document Type: Article

References (10)

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3. Carter, A., and D. Steigerwald. 2012. "Testing for Regime Switching: A Comment." Econometrica 80 (4): 1809-1812.
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8. Hansen, B. 1992. "The Likelihood Ratio Statistic Under Nonstandard Conditions: Testing the Markov-Switching Model of GNP." Journal of Applied Econometrics 7: S61-S82.
9. Theil, H. 1971. Principles of Econometrics. New York: John Wiley.
10. van der Vaart, A. 1998. Asymptotic Statistics. Cambridge Series In Statistical and Probablistic Mathematics. Cambridge, UK: Cambridge University Press.