Misspecified Markov Switching Model
I characterize the local power of an optimal test for a Markov Switching model under generalized alternatives. The result shows that the test still has power for the model with endogenous stochastic parameters unless they are orthogonal to the score functions.
Volume (Year): 29 (2009)
Issue (Month): 2 ()
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- Marine Carrasco & Liang Hu, 2004.
"Optimal test for Markov switching,"
2004 Meeting Papers
374, Society for Economic Dynamics.
- Marine Carrasco & Liang Hu, 2004. "Optimal test for Markov switching," Econometric Society 2004 North American Summer Meetings 396, Econometric Society.
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- Donald W.K. Andrews & Werner Ploberger, 1992.
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Cowles Foundation Discussion Papers
1015, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Abadie A., 2002. "Bootstrap Tests for Distributional Treatment Effects in Instrumental Variable Models," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 284-292, March.
- Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, vol. 109(2), pages 239-273, August.
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