## Speci...cation Testing in Markov-Switching Time Series Models

- J. D. Hamilton
- Journal of Econometrics,
- 1996

Recent empirical analysis has shown the importance of stochastic regime switching in a number of contexts. For example the ‡ow of real dividends in the US appears to be characterised by a random walk with drift which switches randomly between two states, a high-variance low-growth state, and a high-growth low-variance state. However the analysis of the… (More)