Testing between Different Types of Switching Regression Models
Frieder Knuepling and
Journal of Economics and Econometrics, 2015, vol. 58, issue 3, 30-63
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)
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eei:journl:v:58:y:2015:i:3:p:30-63
Access Statistics for this article
More articles in Journal of Economics and Econometrics from Economics and Econometrics Society Contact information at EDIRC.
Bibliographic data for series maintained by Julia van Hove ().