Testing for Regime Switching

DOI10.1111/J.1468-0262.2007.00809.XMaRDI QIDQ5443638zbMATH OpenOpenAlexFDO

Authors Jin Seo Cho, Halbert White

Publication date 21 February 2008

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1468-0262.2007.00809.x

zbMATH Keywords

bound for critical valuescartel stabilitylikelihood ratio statisticMarkov regime switchingmixture modelnull distribution

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cited in

(37)

• A note on testing regime switching assumption based on recurrence times
• Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
• A continuous threshold expectile model
• Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
• Dynamic risk exposures in hedge funds
• Testing for observation-dependent regime switching in mixture autoregressive models
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• Testing for two components in a switching regression model
• Likelihood inference in some finite mixture models
• Robust and efficient specification tests in Markov-switching autoregressive models
• Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
• Divergent perpetuities modulated by regime switches
• Testing for intercept-scale switch in linear autoregression
• Testing for regime switching: a comment
• Markov regime-switching tests: asymptotic critical values
• Higher-order approximations for testing neglected nonlinearity
• Revisiting tests for neglected nonlinearity using artificial neural networks
• Testing for neglected nonlinearity using extreme learning machines
• A new approach to model regime switching
• TESTING FOR HOMOGENEITY IN MIXTURE MODELS
• Directionally differentiable econometric models
• Pooling data across markets in dynamic Markov games
• Likelihood ratio-based tests for Markov regime switching
• Robust bent line regression
• Identification-robust moment-based tests for Markov switching in autoregressive models
• Segmented Correspondence Curve Regression for Quantifying Covariate Effects on the Reproducibility of High-Throughput Experiments
• Evaluating forecast performance with state dependence
• Is There a Jump in the Transition?
• Markov-Switching Three-Pass Regression Filter
• Practical testing for the normal mixture
• On using fuzzy clustering for detecting the number of states in Markov switching models
• Local asymptotic distribution theory for regime switching test in bilinear models
• Score-type tests for normal mixtures
• Testing for unobserved heterogeneity in exponential and Weibull duration models
• Gaussian mixture vector autoregression
• Threshold effect test in censored quantile regression
• A non-parametric test of a first-order Markov process for regimes in a non-cooperatively collusive industry

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