Do Markov-switching models capture nonlinearities in the data? Tests using nonparametric methods.

DOI10.1016/S0378-4754(03)00106-XMaRDI QIDQ1427756zbMATH OpenFDO

Authors Robert V. Breunig, Adrian Pagan

Publication date 14 March 2004

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

Markov-switching modelsNonparametric estimationSimulation methods

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Recommendations

• Nonlinear Time Series Models and Model Selection
• Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
• Specification testing in Markov-switching time-series models
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Cites work

• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Geometric equivalence of groups.
• On Estimation of a Probability Density Function and Mode
• Remarks on Some Nonparametric Estimates of a Density Function

Cited in

(5)

• Distribution switching in financial time series
• Testing for linearity in Markov switching models: a bootstrap approach
• Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
• Testing for a Markov-switching mean in serially correlated data
• Forecasting stock returns: does switching between models help?

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