Markov Regime-Switching Tests: Asymptotic Critical Values
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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 qt5rn986z6.
Date of creation: 12 Aug 2011
Date of revision:
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Social and Behavioral Sciences; mixture model; regime switching; numeric approximation;
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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.:
- René Garcia, 1995.
"Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models,"
CIRANO Working Papers
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- Andrew V. Carter & Douglas G. Steigerwald, 2012.
"Testing for Regime Switching: A Comment,"
Econometric Society, vol. 80(4), pages 1809-1812, 07.
- Carter, Andrew V & Steigerwald, Douglas G, 2010. "Testing for Regime Switching: A Comment," University of California at Santa Barbara, Economics Working Paper Series qt5079q9dc, Department of Economics, UC Santa Barbara.
- Jin Seo Cho & Halbert White, 2007. "Testing for Regime Switching," Econometrica, Econometric Society, vol. 75(6), pages 1671-1720, November.
- Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1990.
"Mean Reversion in Equilibrium Asset Prices,"
American Economic Review,
American Economic Association, vol. 80(3), pages 398-418, June.
- Avouyi-Dovi, Sanvi & Ano Sujithan, Kuhanathan, 2013. "The links between some European financial factors and the BRICS credit default swap spreads," Economics Papers from University Paris Dauphine 123456789/11721, Paris Dauphine University.
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