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Specification testing in Markov-switching time-series models

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  • Hamilton, James D.

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  • Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
    • Handle: RePEc:eee:econom:v:70:y:1996:i:1:p:127-157
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    16. Lam, Pok-sang, 1990. "The Hamilton model with a general autoregressive component: estimation and comparison with other models of economic time series : Estimation and comparison with other models of economic time series," Journal of Monetary Economics, Elsevier, vol. 26(3), pages 409-432, December.
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    25. Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826, Elsevier.
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