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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)

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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Bibliographic 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

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  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.
  2. 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.
  3. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
  4. René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers 95s-07, CIRANO.
  5. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  6. repec:att:wimass:9520 is not listed on IDEAS
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Cited by:
  1. Martha Misas & María Teresa Ramírez, 2005. "Depressions In The Colombian Economic Growth During The Xx Century:A Markov Switching Regime Model," BORRADORES DE ECONOMIA 002274, BANCO DE LA REPÚBLICA.

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