Evaluating Specification Tests for Markov-Switching Time-Series Models

DOI10.1111/J.1467-9892.2008.00575.XzbMath1198.62110OpenAlexW3124331120MaRDI QIDQ3552842

Daniel R. Smith

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00575.x

zbMATH Keywords

Lagrange multipliersARCHautocorrelationsspecification testsMarkov regime switching

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Markov processes: hypothesis testing (62M02)

Related Items (7)

Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices ⋮ Monetary and fiscal policy switching with time-varying volatilities ⋮ Time‐Varying Transition Probabilities for Markov Regime Switching Models ⋮ Regime switching models for circular and linear time series ⋮ A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns ⋮ Granger-causality in Markov switching models ⋮ Revisiting the transitional dynamics of business cycle phases with mixed-frequency data

Cites Work

• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Diagnostic testing and evaluation of maximum likelihood models
• Analysis of time series subject to changes in regime
• Generalised residuals
• Dynamic linear models with Markov-switching
• Autoregressive conditional heteroskedasticity and changes in regime
• Specification testing in Markov-switching time-series models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Remarks on a Multivariate Transformation

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