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 non-linear model. The methods described here allow model selection to be related to the intended use of the model.
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Bibliographic InfoPaper provided by The Australian National University, Arndt-Corden Department of Economics in its series Departmental Working Papers with number 2003-20.
Length: 15 pages
Date of creation: 27 Sep 2003
Date of revision:
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More information through EDIRC
Markov Switching Models; Specification Testing; Nonparametric Estimation; Moment Tests;
Other versions of this item:
- Robert Breunig & Alison Stegman, 2005. "Testing For Regime Switching In Singaporean Business Cycles," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 50(01), pages 25-34.
- NEP-ALL-2004-01-08 (All new papers)
- NEP-ECM-2004-01-25 (Econometrics)
- NEP-MAC-2004-01-08 (Macroeconomics)
- NEP-SEA-2004-01-08 (South East Asia)
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.:
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CIRANO Working Papers
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- J. A. Hausman, 1976.
"Specification Tests in Econometrics,"
185, Massachusetts Institute of Technology (MIT), Department of Economics.
- repec:att:wimass:9520 is not listed on IDEAS
- Martha Misas & María Teresa Ramírez, .
"Depressions in the Colombian Economic Growth Durng the XX Century: A Markov Switching Regime Model,"
Borradores de Economia
340, Banco de la Republica de Colombia.
- 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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