Testing for Regime Switching: A Comment
In Cho and White (2007) "Testing for Regime Switching" the authors obtain the asymptotic null distribution of a quasi-likelihood ratio (QLR) statistic. The statistic is designed to test the null hypothesis of one regime against the alternative of Markov switching between two regimes. Likelihood ratio statistics are used because the test involves nuisance parameters that are not identified under the null hypothesis, together with other nonstandard features. Cho and White focus on a quasi-likelihood, which ignores certain serial correlation properties but allows for a tractable factorization of the likelihood. While the majority of their paper focuses on asymptotic behavior under the null hypothesis, Theorem 1(b) states that the quasi-maximum likelihood estimator (QMLE) is consistent under the alternative hypothesis. Consistency of the QMLE requires that the expected quasi-log-likelihood attain a global maximum at the population parameter values. This requirement holds for some Markov regime-switching processes but, as we show below, not for an autoregressive process as analyzed in Cho and White.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 80 (2012)
Issue (Month): 4 (07)
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/
More information through EDIRC
|Order Information:|| Web: https://www.econometricsociety.org/publications/econometrica/access/ordering-back-issues Email: |
References listed on IDEAS
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.:
- Levine, David, 1983.
"A remark on serial correlation in maximum likelihood,"
Journal of Econometrics,
Elsevier, vol. 23(3), pages 337-342, December.
- David Levine, 1981. "A Remark on Serial Correlation in Maximum Likelihood," UCLA Economics Working Papers 215, UCLA Department of Economics.
- David K. Levine, 1983. "A Remark on Serial Correlation in Maximum Likelihood," Levine's Working Paper Archive 176, David K. Levine.
- Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008. "Estimation of Markov regime-switching regression models with endogenous switching," Journal of Econometrics, Elsevier, vol. 143(2), pages 263-273, April.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004. "Estimation of Markov regime-switching regression models with endogenous switching," Working Papers 2003-015, Federal Reserve Bank of St. Louis.
- Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178, April.
- Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543, April.
- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers 2002-26, Brown University, Department of Economics. Full references (including those not matched with items on IDEAS)