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Testing for linearity in Markov switching models: a bootstrap approach

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Author Info
Silvestro Di Sanzo ()
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File URL: http://hdl.handle.net/10.1007/s10260-007-0080-6
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Article provided by Springer in its journal Statistical Methods and Applications.

Volume (Year): 18 (2009)
Issue (Month): 2 (July)
Pages: 153-168
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Handle: RePEc:spr:stmapp:v:18:y:2009:i:2:p:153-168

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Related research
Keywords: Markov switching autoregressive model; Bootstrap; Nuisance parameter; Monte Carlo simulation;

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References listed on IDEAS
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  1. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September. [Downloadable!] (restricted)
  2. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1990. "Mean Reversion in Equilibrium Asset Prices," NBER Working Papers 2762, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Marine Carrasco & Liang Hu, 2004. "Optimal test for Markov switching," Econometric Society 2004 North American Summer Meetings 396, Econometric Society. [Downloadable!]
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  4. Hansen, Bruce E, 1992. "The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S61-82, Suppl. De. [Downloadable!] (restricted)
  5. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  6. Garcia, Rene, 1998. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-88, August.
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  7. Cosslett, Stephen R. & Lee, Lung-Fei, 1985. "Serial correlation in latent discrete variable models," Journal of Econometrics, Elsevier, vol. 27(1), pages 79-97, January. [Downloadable!] (restricted)
  8. Zacharias Psaradakis, 1998. "Bootstrap-based evaluation of markov-switching time series models," Econometric Reviews, Taylor and Francis Journals, vol. 17(3), pages 275-288. [Downloadable!] (restricted)
  9. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
  10. Garcia, Rene & Perron, Pierre, 1996. "An Analysis of the Real Interest Rate under Regime Shifts," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 111-25, February. [Downloadable!] (restricted)
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  11. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March. [Downloadable!] (restricted)
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