Specification Testing of Markov Switching Models

Robert Breunig; Serinah Najarian; Adrian Pagan

doi:10.1046/j.0305-9049.2003.00093.x

Specification Testing of Markov Switching Models

Robert Breunig^*, Serinah Najarian, Adrian Pagan

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

28 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	703-725
Number of pages	23
Journal	Oxford Bulletin of Economics and Statistics
Volume	65
Issue number	SUPPL.
DOIs	https://doi.org/10.1046/j.0305-9049.2003.00093.x
Publication status	Published - 2003

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Specification Testing of Markov Switching Models

Abstract

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