Testing For Regime Switching In Singaporean Business Cycles
AbstractWe 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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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal The Singapore Economic Review.
Volume (Year): 50 (2005)
Issue (Month): 01 ()
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Other versions of this item:
- Robert Breunig & Alison Stegman, 2003. "Testing for Regime Switching in Singaporean Business Cycles," Departmental Working Papers, The Australian National University, Arndt-Corden Department of Economics 2003-20, The Australian National University, Arndt-Corden Department of Economics.
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