Evaluating Specification Tests for Markov-Switching Time-Series Models (Q3552842)

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Evaluating Specification Tests for Markov-Switching Time-Series Models
scientific article

    Statements

    title
    Evaluating Specification Tests for Markov-Switching Time-Series Models (English)
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    author
    Daniel R. Smith
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    publication date
    22 April 2010
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    zbMATH Keywords
    Markov regime switching
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    Lagrange multipliers
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    specification tests
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    autocorrelations
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    ARCH
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62M02
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    65C05
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    91G70
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    zbMATH DE Number
    5697502
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    OpenAlex ID
    W3124331120
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