Misspecified Markov Switching Model

Youngki Shin

Economics Bulletin, 2009, vol. 29, issue 2, 957-963

Abstract: I characterize the local power of an optimal test for a Markov Switching model under generalized alternatives. The result shows that the test still has power for the model with endogenous stochastic parameters unless they are orthogonal to the score functions.

JEL-codes: C1 (search for similar items in EconPapers)
Date: 2009-05-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I2-P44.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-08c10012

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().