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Obtaining Critical Values for Test of Markov Regime Switching


  • Steigerwald, Douglas G
  • Bostwick, Valerie K


For Markov regime-switching models, testing for the possible presence ofmore than one regime requires the use of a non-standard test statistic. Carterand Steigerwald (forthcoming, Journal of Econometric Methods) derive in detailthe analytic steps needed to implement the test ofMarkov regime-switchingproposed by Cho and White (2007, Econometrica). We summarize the implementationsteps and address the computational issues that arise. A newcommand to compute regime-switching critical values, rscv, is introduced andpresented in the context of empirical research.

Suggested Citation

  • Steigerwald, Douglas G & Bostwick, Valerie K, 2012. "Obtaining Critical Values for Test of Markov Regime Switching," University of California at Santa Barbara, Economics Working Paper Series qt3685g3qr, Department of Economics, UC Santa Barbara.
  • Handle: RePEc:cdl:ucsbec:qt3685g3qr

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    1. Andrew V. Carter & Douglas G. Steigerwald, 2012. "Testing for Regime Switching: A Comment," Econometrica, Econometric Society, vol. 80(4), pages 1809-1812, July.
    2. Bloom, David E & Canning, David & Sevilla, Jaypee, 2003. "Geography and Poverty Traps," Journal of Economic Growth, Springer, vol. 8(4), pages 355-378, December.
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      Social and Behavioral Sciences; mixture model; regime switching; multiple equilibria;

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