Specification testing in Markov-switching time-series models (Q1906290)
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scientific article; zbMATH DE number 843656
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Specification testing in Markov-switching time-series models |
scientific article; zbMATH DE number 843656 |
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Specification testing in Markov-switching time-series models (English)
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12 February 1996
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regime-switching models
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Lagrange multiplier tests
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specification tests
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Markov-switching time-series models
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omitted autocorrelation
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omitted ARCH
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misspecification
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omitted explanatory variables
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Monte Carlo
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0.9039015173912048
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0.8196651339530945
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0.8130841255187988
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0.8111868500709534
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0.8058841824531555
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