Identification-robust moment-based tests for Markov switching in autoregressive models

@article{Dufour2016IdentificationrobustMT,
  title={Identification-robust moment-based tests for Markov switching in autoregressive models},
  author={Jean-Marie Dufour and Richard Luger},
  journal={Econometric Reviews},
  year={2016},
  volume={36},
  pages={713 - 727}
}
ABSTRACT This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the identification failures that plague conventional likelihood-based inference methods. The approach exploits the moments of normal mixtures implied by the regime-switching process and uses Monte Carlo test techniques to deal with the presence of an autoregressive component in the model specification. The proposed… 
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