Testing for Regime Switching in Singaporean Business Cycles
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 non-linear model. The methods described here allow model selection to be related to the intended use of the model.
|Date of creation:||27 Sep 2003|
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International Economic Review,
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- René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers 95s-07, CIRANO.
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