Robust and efficient specification tests in Markov-switching autoregressive models

Masaru Chiba ()
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Masaru Chiba: Aichi Gakuin University

Statistical Inference for Stochastic Processes, 2023, vol. 26, issue 1, No 4, 99-137

Abstract: Abstract This study develops two types of robust test statistics applicable to Markov-switching autoregressive models. The test statistics can be constructed by sum functionals of the “smoothed” probabilities that a given observation came from a particular regime and do not require the estimation of additional parameters. Monte Carlo experiments show that the tests have good finite-sample size and power properties. The tests are applied to investigate the fluctuations in real GNP growth in the U.S.

Keywords: Markov-switching model; Lagrange multiplier test; Bartlett identity (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11203-022-09277-5

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