Testing for linearity in Markov switching models: a bootstrap approach

DOI10.1007/S10260-007-0080-6MaRDI QIDQ734468zbMATH OpenOpenAlexFDO

Authors Silvestro Di Sanzo

Publication date 13 October 2009

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL http://paduaresearch.cab.unipd.it/7096/1/2007_1_20070130102241.pdf

zbMATH Keywords

bootstrapMonte Carlo simulationnuisance parameterMarkov switching autoregressive model

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 927305 (Why is no real title available?)
• A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Bootstrap-based evaluation of markov-switching time series models
• Maximum Likelihood Estimation of Misspecified Models
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Time-series segmentation: A model and a method

Cited in

(11)

• On stochastic dynamic modeling of incidence data
• Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
• Optimal test for Markov switching parameters
• Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
• Granger-causality in Markov switching models
• Reliability of linearity test for smooth transition models
• Do Markov-switching models capture nonlinearities in the data? Tests using nonparametric methods.
• Output fluctuations persistence: do cyclical shocks matter?
• Testing for a Markov-switching mean in serially correlated data
• Trend and cycle decomposition of Markov switching (co)integrated time series
• Identification-robust moment-based tests for Markov switching in autoregressive models

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