Identification-robust moment-based tests for Markov switching in autoregressive models

DOI10.1080/07474938.2017.1307548OpenAlexW3020932207MaRDI QIDQ5864645FDOQ5864645

Authors: Jean-Marie Dufour, Richard Luger 

Publication date: 8 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.00029

Recommendations

• Testing for a Markov-switching mean in serially correlated data
• Testing for linearity in Markov switching models: a bootstrap approach
• Specification testing in Markov-switching time-series models
• Testing for regime switching: a comment
• Likelihood ratio-based tests for Markov regime switching

zbMATH Keywords

parametric bootstrapregime switchingMarkov chainsexact inferencemixture distributionsMonte Carlo tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Econometric specification of stochastic discount factor models
• Autoregressive conditional heteroskedasticity and changes in regime
• Title not available (Why is that?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Optimal test for Markov switching parameters
• Title not available (Why is that?)
• Testing for Regime Switching
• Estimates of Location Based on Rank Tests
• Modified Randomization Tests for Nonparametric Hypotheses
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Title not available (Why is that?)
• Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
• Geometric equivalence of groups.
• Moments of Markov switching models
• Markov switching models in empirical finance
• Specification testing when score test statistics are identically zero
• Bayesian non- and semi-parametric methods and applications
• Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
• Testing for regime switching: a comment
• Markov regime-switching tests: asymptotic critical values

Cited In (3)

• Econometric Reviews honors Esfandiar Maasoumi
• Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends
• Identification-Robust Inference With Simulation-Based Pseudo-Matching

Uses Software

• bayesm

This page was built for publication: Identification-robust moment-based tests for Markov switching in autoregressive models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864645)