Série Scientifique Scientific Series No 95s-7 ASYMPTOTIC NULL DISTRIBUTION OF THE LIKELIHOOD RATIO TEST IN MARKOV SWITCHING MODELS

Abstract

Résumé TheMarkov Switching Model, introduced by Hamilton (1988, 1989), has been used in various economic and financial applications where changes in regime play potentially an important role. While estimation methods for these models are by now well established, such is not the case for the corresponding testing procedures. The Markov switching models raise… (More)

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Cite this paper

@inproceedings{Garcia1997SerieSS, title={Série Scientifique Scientific Series No 95s-7 ASYMPTOTIC NULL DISTRIBUTION OF THE LIKELIHOOD RATIO TEST IN MARKOV SWITCHING MODELS}, author={Ren{\'e} Garcia and Michael D. Boldin and Fangxiong Gong and Christian Gourieroux and James R. Hamilton and Bruce E. Hansen and Werner Ploberger and Michael Rockinger}, year={1997} }