Obtaining Critical Values for Test of Markov Regime Switching
AbstractFor Markov regime-switching models, testing for the possible presence ofmore than one regime requires the use of a non-standard test statistic. Carterand Steigerwald (forthcoming, Journal of Econometric Methods) derive in detailthe analytic steps needed to implement the test ofMarkov regime-switchingproposed by Cho and White (2007, Econometrica). We summarize the implementationsteps and address the computational issues that arise. A newcommand to compute regime-switching critical values, rscv, is introduced andpresented in the context of empirical research.
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Bibliographic InfoPaper provided by Department of Economics, UC Santa Barbara in its series University of California at Santa Barbara, Economics Working Paper Series with number qt3685g3qr.
Date of creation: 20 Oct 2012
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Social and Behavioral Sciences; mixture model; regime switching; multiple equilibria;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-11 (All new papers)
- NEP-ECM-2012-11-11 (Econometrics)
- NEP-ORE-2012-11-11 (Operations Research)
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- Carter, Andrew V & Steigerwald, Douglas G, 2010.
"Testing for Regime Switching: A Comment,"
University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
qt5079q9dc, Department of Economics, UC Santa Barbara.
- Bloom, David E & Canning, David & Sevilla, Jaypee, 2003. " Geography and Poverty Traps," Journal of Economic Growth, Springer, Springer, vol. 8(4), pages 355-78, December.
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