Specification testing in Markov-switching time-series models
DOI10.1016/0304-4076(69)41686-9zbMath0834.62086OpenAlexW2002938413MaRDI QIDQ1906290
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
Monte Carlospecification testsregime-switching modelsmisspecificationLagrange multiplier testsMarkov-switching time-series modelsomitted ARCHomitted autocorrelationomitted explanatory variables
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)
Related Items (43)
Cites Work
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