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Obtaining critical values for test of Markov regime switching

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  • Valerie K. Bostwick

    (University of California, Santa Barbara)

  • Douglas G. Steigerwald

    (University of California, Santa Barbara)

Abstract

For Markov regime-switching models, a nonstandard test statistic must be used to test for the possible presence of multiple regimes. Carter and Steigerwald (2013, Journal of Econometric Methods 2: 25–34) derive the analytic steps needed to implement the Markov regime-switching test proposed by Cho and White (2007, Econometrica 75: 1671–1720). We summarize the implementation steps and address the computational issues that arise. We then introduce a new command to compute regime-switching critical values, rscv, and present it in the context of empirical research.

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  • Valerie K. Bostwick & Douglas G. Steigerwald, 2014. "Obtaining critical values for test of Markov regime switching," Stata Journal, StataCorp LLC, vol. 14(3), pages 481-498, September.
    • Handle: RePEc:tsj:stataj:v:14:y:2014:i:3:p:481-498
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    Cited by:

    1. Konstantinos Angelopoulos & Spyridon Lazarakis & Rebecca Mancy & Max Schroeder, 2021. "Pandemic-Induced Wealth and Health Inequality and Risk Exposure," CESifo Working Paper Series 9474, CESifo.

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