Testing for Regime Swtiching: A CommentEconometrica (2012)
AbstractAn autoregressive model with Markov-regime switching is analyzed that reflects on the properties of the quasi-likelihood ratio test developed by Cho and White (2007). For such a model, we show that consistency of the quasi-maximum likelihood estimator for the population parameter values, on which consistency of the test is based, does not hold. We describe a condition that ensures consistency of the estimator and discuss the consistency of the test in the absence of consistency of the estimator.
- Markov regime switching,
- quasi-maximum likelihood
Citation InformationDouglas G Steigerwald and Andrew V Carter. "Testing for Regime Swtiching: A Comment" Econometrica Vol. 80 Iss. 4 (2012)
Available at: http://works.bepress.com/douglas_steigerwald/2/