Power issues when testing the Markov switching model with the sup likelihood ratio test using U.S. output
The likelihood ratio (LR) test statistic for the test of a linear AR(1) model against the alternative of a Markov switching model does not possess the standard 2 distribution. Garcia (1998) derives the asymptotic distribution of the Sup LR test statistic under these non-standard conditions allowing the researcher to easily compare the two models. This paper examines the power properties of this test statistic using Monte Carlo experiments calibrated to U.S. output growth data. The results suggest a test of reasonable power. When the experiments are calibrated to annual data, power is 82% at 200 observations. When the experiments are calibrated to quarterly data power is 57% for the same sample size.
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): 27 (2002)
Issue (Month): 2 ()
|Note:||Received: March 2000/Final Version Received: March 2001|
|Contact details of provider:|| Postal: |
Phone: ++43 - (0)1 - 599 91 - 0
Fax: ++43 - (0)1 - 599 91 - 555
Web page: http://link.springer.de/link/service/journals/00181/index.htm
More information through EDIRC
|Order Information:||Web: http://link.springer.de/orders.htm|
When requesting a correction, please mention this item's handle: RePEc:spr:empeco:v:27:y:2002:i:2:p:395-401. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.