Specification testing of Markov switching models

被引：22

作者：

Breunig, R ^{[1
]}

Najarian, S

Pagan, A

机构：

[1] Australian Natl Univ, Res Sch Social Sci, Econ Program, Canberra, ACT 0200, Australia

[2] Univ Oxford, Dept Econ, Oxford OX1 3UQ, England

[3] Univ New S Wales, Sch Econ, Sydney, NSW, Australia

来源：

OXFORD BULLETIN OF ECONOMICS AND STATISTICS | 2003年 / 65卷

关键词：

D O I：

10.1046/j.0305-9049.2003.00093.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a set of formal tests to address the goodness-of-fit of Markov switching models. These formal tests are constructed as tests of model consistency and of both parametric and non-parametric encompassing. The formal tests are then combined with informal tests using simulation in combination with non-parametric density and conditional mean estimation. The informal tests are shown to be useful in shedding light on the failure (or success) of the encompassing tests. Several examples are provided.

引用

收藏

页码：703 / 725

页数：23

相关论文

共 35 条

[1] Testing continuous-time models of the spot interest rate [J].

Ait-Sahalia, Y .

REVIEW OF FINANCIAL STUDIES, 1996, 9 (02) :385-426

[2] Lending cycles [J].

Asea, PK ;

Blomberg, B .

JOURNAL OF ECONOMETRICS, 1998, 83 (1-2) :89-128

[3] Asymptotic theory of integrated conditional moment tests [J].

Bierens, HJ ;

Ploberger, W .

ECONOMETRICA, 1997, 65 (05) :1129-1151

[4] Phases of the Canadian business cycle [J].

Bodman, PM ;

Crosby, M .

CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE, 2000, 33 (03) :618-633

[5]

Broock WA., 1996, ECONOMET REV, V15, P197, DOI [DOI 10.1080/07474939608800353, DOI 10.1080/2F07474939608800353.NUME]

[6] SEVERAL TESTS FOR MODEL-SPECIFICATION IN THE PRESENCE OF ALTERNATIVE HYPOTHESES [J].

DAVIDSON, R ;

MACKINNON, JG .

ECONOMETRICA, 1981, 49 (03) :781-793

[7] Intrinsic bubbles and regime-switching [J].

Driffill, J ;

Sola, M .

JOURNAL OF MONETARY ECONOMICS, 1998, 42 (02) :357-373

[8] TESTING FOR SERIAL CORRELATION IN LEAST-SQUARES REGRESSION WHEN SOME OF REGRESSORS ARE LAGGED DEPENDENT VARIABLES [J].

DURBIN, J .

ECONOMETRICA, 1970, 38 (03) :410-&

[9] DURATION-DEPENDENT TRANSITIONS IN A MARKOV MODEL OF UNITED-STATES GNP GROWTH [J].

DURLAND, JM ;

MCCURDY, TH .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1994, 12 (03) :279-288

[10] Asymptotic null distribution of the likelihood ratio test in Markov Switching Models [J].

Garcia, R .

INTERNATIONAL ECONOMIC REVIEW, 1998, 39 (03) :763-788

← 1 2 3 4 →