# 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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