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Testing For Regime Switching In Singaporean Business Cycles

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Author Info
ROBERT BREUNIG () (School of Economics, Faculty of Economics and Commerce, Australian National University, Canberra ACT 0200, Australia)
ALISON STEGMAN (Research School of Pacific and Asian Studies, Australian National University, Canberra ACT 0200, Australia)

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Abstract

We examine a Markov-Switching model of Singaporean GDP using a combination of formal moment-based tests and informal graphical tests. The tests confirm that the Markov-Switching model fits the data better than a linear, autoregressive alternative. The methods are extended to allow us to identify precisely which features of the data are better captured by the nonlinear model. The methods described here allow model selection to be related to the intended use of the model.

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Publisher Info
Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal The Singapore Economic Review.

Volume (Year): 50 (2005)
Issue (Month): 01 ()
Pages: 25-34
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Handle: RePEc:wsi:serxxx:v:50:y:2005:i:01:p:25-34

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Related research
Keywords: Markov-Switching models; specification testing; nonparametric estimation; moment tests;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. 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)
  2. 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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  3. repec:att:wimass:199520 is not listed on IDEAS
  4. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
  5. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January. [Downloadable!] (restricted)
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  6. W. A. Broock & J. A. Scheinkman & W. D. Dechert & B. LeBaron, 1996. "A test for independence based on the correlation dimension," Econometric Reviews, Taylor and Francis Journals, vol. 15(3), pages 197-235. [Downloadable!] (restricted)
  7. Robert Breunig & Serinah Najarian & Adrian Pagan, 2003. "Specification Testing of Markov Switching Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 703-725, December. [Downloadable!] (restricted)
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  1. Martha Misas & María Teresa Ramírez, . "Depressions in the Colombian Economic Growth Durng the XX Century: A Markov Switching Regime Model," Borradores de Economia 340, Banco de la Republica de Colombia. [Downloadable!]
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