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|
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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.:
- Bloom, David E & Canning, David & Sevilla, Jaypee, 2003. "Geography and Poverty Traps," Journal of Economic Growth, Springer, vol. 8(4), pages 355-378, December.
- 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.
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