Testing for Regime Switching

@inproceedings{Cho2007TestingFR,
  title={Testing for Regime Switching},
  author={Jin Seo Cho and Halbert White and Roger J. Bowden and R. Davies and Wouter den Haan and Steven Durlauf and G. J. Elliott and Patrick Fitzsimmons and Clive Granger and James E. Hamilton and Chirok Han and Bruce B. Hansen and T. Kim and Bruce N. Lehmann and Angelo Melino and Masao Ogaki and Peter Phillips and Ehsan S. Soofi and Kamil Tahmiscioglu},
  year={2007}
}
We analyze use of a quasi-likelihood ratio statistic for a mixture model to test the null hypothesis of one regime versus the alternative of two regimes in a Markov regimeswitching context. This test exploits mixture properties implied by the regime-switching process, but ignores certain implied serial correlation properties. When formulated in the natural way, the setting is nonstandard, involving nuisance parameters on the boundary of the parameter space, nuisance parameters identified only… CONTINUE READING

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