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Testing between Different Types of Switching Regression Models

Frieder Knuepling and Jason Allen

Journal of Economics and Econometrics, 2015, vol. 58, issue 3, 30-63

Abstract: During the last years a number of methodological papers on models with periodic discrete parameter shifts have revived interest in the regime switching models and have inspired much applied work in econometrics. 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 regime switching models based on embedding these models within a more general framework. Monte Carlo simulation results suggest high power of the proposed test procedure.

Keywords: Regime switching model; econometric test; Markov switching threshold; single variable models. (search for similar items in EconPapers)
JEL-codes: C2 C4 (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:eei:journl:v:58:y:2015:i:3:p:30-63