Testing for observation-dependent regime switching in mixture autoregressive models

DOI10.1016/j.jeconom.2020.04.048zbMath1471.62472arXiv1711.03959OpenAlexW3080340391MaRDI QIDQ2024438

Pentti Saikkonen, Mika Meitz

Publication date: 4 May 2021

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

Full work available at URL: https://arxiv.org/abs/1711.03959

zbMATH Keywords

likelihood ratio testsingular information matrixGaussian mixture autoregressive modelhigher-order approximation of the log-likelihoodlogistic mixture autoregressive model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (3)

A mixture autoregressive model based on Gaussian and Student's \(t\)-distributions ⋮ Robust and efficient specification tests in Markov-switching autoregressive models ⋮ A mixture autoregressive model based on Student’s t–distribution

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