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Unpublished Paper
Obtaining Critical Values for Test of Markov Regime Switching
Economics Department, UC Santa Barbara (2012)
  • Douglas G Steigerwald, University of California, Santa Barbara
  • Valerie Bostwick, University of California - Santa Barbara
For Markov regime-switching models, testing for the possible presence of more than one regime requires the use of a non-standard test statistic. Carter and Steigerwald (forthcoming, Journal of Econometric Methods) derive in detail the analytic steps needed to implement the test ofMarkov regime-switching proposed by Cho and White (2007, Econometrica). We summarize the implementation steps and address the computational issues that arise. A new command to compute regime-switching critical values, rscv, is introduced and presented in the context of empirical research.
  • mixture model,
  • multiple equilibria,
  • regime switching
Publication Date
November 1, 2012
Citation Information
Douglas G Steigerwald and Valerie Bostwick. "Obtaining Critical Values for Test of Markov Regime Switching" Economics Department, UC Santa Barbara (2012)
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