Testing the null hypothesis of no regime switching with an application to GDP growth rates
AbstractThis paper presents tests for the null hypothesis of no regime switching in Hamilton's (1989) regime switching model. The test procedures exploit similarities between regime switching models, autoregressions with measurement errors, and finite mixture models. The proposed tests are computationally simple and, contrary to likelihood based tests, have a standard distribution under the null. When the methodology is applied to US GDP growth rates, no strong evidence of regime switching is found.
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Bibliographic InfoPaper provided by Vancouver School of Economics in its series Microeconomics.ca working papers with number vadim_marmer-2009-59.
Length: 31 pages
Date of creation: 02 Nov 2009
Date of revision: 03 Nov 2009
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Web page: http://www.economics.ubc.ca/
regime switching; LM tests; GMM; matching methods; GDP growth rates;
Other versions of this item:
- Vadim Marmer, 2008. "Testing the null hypothesis of no regime switching with an application to GDP growth rates," Empirical Economics, Springer, vol. 35(1), pages 101-122, August.
- NEP-ALL-2009-11-14 (All new papers)
- NEP-ECM-2009-11-14 (Econometrics)
- NEP-ETS-2009-11-14 (Econometric Time Series)
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