Testing between Different Types of Switching Regression Models

Frieder Knuepling
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Frieder Knuepling: Universitaet Freiburg

Econometrics from EconWPA

Abstract: During the last years a number of methodological papers on models with periodic discrete parameter shifts have revived interest in these so- called regime switching models and have inspired much applied work in various branches of economics. Different types of switching models are in use, and in many cases the use of a particular model type is not justified on statistical grounds. This paper suggests a new procedure to test between different types of such models based on embedding these models within a more general one. First simulation results of the quality of this test are presented, and finally directions for further research are suggested.

Keywords: Markov; Switching; Threshold (search for similar items in EconPapers)
JEL-codes: C2 C4 (search for similar items in EconPapers)
Date: 1997-10-16
Note: Type of Document - MS Word 7.0; prepared on PC; pages: 11; figures: included. Word for Windows document submitted via Netscape
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