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

DOI10.1080/07474938.2017.1307548MaRDI QIDQ5864645zbMATH OpenOpenAlexFDO

Authors Jean-Marie Dufour, Richard Luger

Publication date 8 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

zbMATH Keywords

parametric bootstrapregime switchingMarkov chainsexact inferencemixture distributionsMonte Carlo tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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• Markov switching models in empirical finance
• Modified Randomization Tests for Nonparametric Hypotheses
• Moments of Markov switching models
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Optimal test for Markov switching parameters
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• Specification testing when score test statistics are identically zero
• Testing for Regime Switching
• Testing for regime switching: a comment

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

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• bayesm

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