Modified Quasi-Likelihood Ratio Test for Regime Switching

Modified Likelihood Ratio Test for Regime Switching

This paper proposes a modified quasi-likelihood test of Markov regime switching models. Despite its popularity in economics and finance, there are few papers that develop tests for regime switching models. Recently, Cho and White (2007) derive the asymptotic distribution of the quasi-likelihood ratio (QLR) statistic of Markov regime switching models with a scalar parameter. The asymptotic distr...

Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests∗

We introduce a nonparametric bootstrap approach for Quasi-Likelihood Ratio type tests of nonlinear restrictions. Our method applies to extremum estimators, such as quasimaximum likelihood and generalized method of moments estimators. Unlike existing parametric bootstrap procedures for Quasi-Likelihood Ratio type tests, our procedure constructs bootstrap samples in a fully nonparametric way. We ...

Generalized Likelihood Ratio Test for Selecting

A generalized likelihood ratio test is considered for testing acoustic propagation models in the context of environmental parameter inversion. In the following, we use the term \hierarchy of models" to denote a sequence of model structures M1;M2;... in which each particular model structure Mn contains all previous ones as special cases. We propose a combined parameter estimation and multiple se...

An Empirical Likelihood Ratio Test for Normality

The empirical likelihood ratio (ELR) test for the problem of testing for normality is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are provided and analyzed using the Monte Carlo simulation technique. The power comparisons against a wide range of alternative distributions show that the ELR test is the most powerful of these tests in certain s...

1 Likelihood Ratio Test ( LRT