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Article
Testing for Regime Swtiching: A Comment
Econometrica (2012)
  • Douglas G Steigerwald, University of California, Santa Barbara
  • Andrew V Carter, University of California - Santa Barbara
Abstract
An 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.
Keywords
  • consistent,
  • Markov regime switching,
  • quasi-maximum likelihood
Publication Date
2012
Citation Information
Douglas 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/