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Testing For Regime Switching In Singaporean Business Cycles



    (School of Economics, Faculty of Economics and Commerce, Australian National University, Canberra ACT 0200, Australia)


    (Research School of Pacific and Asian Studies, Australian National University, Canberra ACT 0200, Australia)

We examine a Markov-Switching model of Singaporean GDP using a combination of formal moment-based tests and informal graphical tests. The tests confirm that the Markov-Switching model fits the data better than a linear, autoregressive alternative. The methods are extended to allow us to identify precisely which features of the data are better captured by the nonlinear model. The methods described here allow model selection to be related to the intended use of the model.

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Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal The Singapore Economic Review.

Volume (Year): 50 (2005)
Issue (Month): 01 ()
Pages: 25-34

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Handle: RePEc:wsi:serxxx:v:50:y:2005:i:01:p:25-34
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  1. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
  2. René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers 95s-07, CIRANO.
  3. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  4. Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521355643, October.
  5. repec:att:wimass:9520 is not listed on IDEAS
  6. Robert Breunig & Serinah Najarian & Adrian Pagan, 2003. "Specification Testing of Markov Switching Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 703-725, December.
  7. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
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