Markov Regime-Switching Tests: Asymptotic Critical Values
نویسندگان
چکیده
منابع مشابه
Markov Regime-Switching Tests: Asymptotic Critical Values
Empirical research with Markov regime-switching models often requires the researcher not only to estimate the model but also to test for the presence of more than one regime. Despite the need for both estimation and testing, methods of estimation are better understood than are methods of testing. We bridge this gap by explaining, in detail, how to apply the newest results in the theory of regim...
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ژورنال
عنوان ژورنال: Journal of Econometric Methods
سال: 2013
ISSN: 2156-6674,2194-6345
DOI: 10.1515/jem-2012-0001