Goodness-of-fit testing for regime-switching models

Joanna Janczura and Rafał Weron

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we propose a novel goodness-of-fit testing scheme for regime-switching models. We consider models with an observable, as well as, a latent state process. The test is based on the Kolmogorov-Smirnov supremum-distance statistic and the concept of the weighted empirical distribution function. We apply the proposed scheme to test whether a 2-state Markov regime-switching model fits electricity spot price data.

Keywords: Regime-switching; Goodness-of-fit; Weighted empirical distribution function; Kolmogorov-Smirnov test (search for similar items in EconPapers)
JEL-codes: C12 C52 Q40 (search for similar items in EconPapers)
Date: 2010-05-24
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Goodness-of-fit testing for the marginal distribution of regime-switching models (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:22871

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