Testing for Regime Switching

DOI10.1111/j.1468-0262.2007.00809.xzbMath1129.62072OpenAlexW2142482685MaRDI QIDQ5443638

Jin Seo Cho, Halbert White

Publication date: 21 February 2008

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2007.00809.x

zbMATH Keywords

likelihood ratio statisticmixture modelMarkov regime switchingnull distributioncartel stabilitybound for critical values

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Markov processes: hypothesis testing (62M02)

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