Obtaining Critical Values for Test of Markov Regime Switching
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.
|Date of creation:||20 Oct 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (805) 893-3670
Fax: (805) 893-8830
Web page: http://www.escholarship.org/repec/ucsbecon_dwp/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrew V. Carter & Douglas G. Steigerwald, 2012.
"Testing for Regime Switching: A Comment,"
Econometric Society, vol. 80(4), pages 1809-1812, 07.
- Carter, Andrew V & Steigerwald, Douglas G, 2010. "Testing for Regime Switching: A Comment," University of California at Santa Barbara, Economics Working Paper Series qt5079q9dc, Department of Economics, UC Santa Barbara.
- Bloom, David E & Canning, David & Sevilla, Jaypee, 2003. " Geography and Poverty Traps," Journal of Economic Growth, Springer, vol. 8(4), pages 355-78, December.
When requesting a correction, please mention this item's handle: RePEc:cdl:ucsbec:qt3685g3qr. 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: (Lisa Schiff)
If references are entirely missing, you can add them using this form.