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Testing between Different Types of Switching Regression Models

Author

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  • Frieder Knuepling

    (Universitaet Freiburg)

Abstract

During the last years a number of methodological papers on models with periodic discrete parameter shifts have revived interest in these so- called regime switching models and have inspired much applied work in various branches of economics. Different types of switching models are in use, and in many cases the use of a particular model type is not justified on statistical grounds. This paper suggests a new procedure to test between different types of such models based on embedding these models within a more general one. First simulation results of the quality of this test are presented, and finally directions for further research are suggested.

Suggested Citation

  • Frieder Knuepling, 1997. "Testing between Different Types of Switching Regression Models," Econometrics 9710001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:9710001
    Note: Type of Document - MS Word 7.0; prepared on PC; pages: 11; figures: included. Word for Windows document submitted via Netscape
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    References listed on IDEAS

    as
    1. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
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    More about this item

    Keywords

    Markov Switching Threshold;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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