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Obtaining Critical Values for Test of Markov Regime Switching

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  • Steigerwald, Douglas G
  • Bostwick, Valerie K

Abstract

For 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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Paper provided by Department of Economics, UC Santa Barbara in its series University of California at Santa Barbara, Economics Working Paper Series with number qt3685g3qr.

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Date of creation: 20 Oct 2012
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Handle: RePEc:cdl:ucsbec:qt3685g3qr

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Keywords: Social and Behavioral Sciences; mixture model; regime switching; multiple equilibria;

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  1. 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.
  2. 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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