Obtaining Critical Values for Test of Markov Regime SwitchingEconomics Department, UC Santa Barbara (2012)
AbstractFor 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 DateNovember 1, 2012
Citation InformationDouglas G Steigerwald and Valerie Bostwick. "Obtaining Critical Values for Test of Markov Regime Switching" Economics Department, UC Santa Barbara (2012)
Available at: http://works.bepress.com/douglas_steigerwald/25/