Specification testing in Markov-switching time-series models

DOI10.1016/0304-4076(69)41686-9zbMath0834.62086OpenAlexW2002938413MaRDI QIDQ1906290

James D. Hamilton

Publication date: 12 February 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(69)41686-9

zbMATH Keywords

Monte Carlospecification testsregime-switching modelsmisspecificationLagrange multiplier testsMarkov-switching time-series modelsomitted ARCHomitted autocorrelationomitted explanatory variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

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