Bootstrap-based evaluation of markov-switching time series models

Zacharias Psaradakis

Econometric Reviews, 1998, vol. 17, issue 3, 275-288

Abstract: This paper explores the possibility of evaluating the adequacy of Markov-switching time series models by comparing selected functionals (such as the spectral density function and moving empirical moments) obtained from the data with those of the fitted model using a bootstrap algorithm. The proposed model checking procedure is easy to implement and flexible enough to be adapted to a wide variety of models with parameters subject to Markov regime-switching. Examples with real and artificial data illustrate the potential of the methodology.

Keywords: Markov Chain; Moving Estimates; Parametric Bootstrap; Regime Switching; Spectral Density Function; JEL Classification: C15: C22: C52 (search for similar items in EconPapers)
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474939808800416 (text/html)
Access to full text is restricted to subscribers.

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:taf:emetrv:v:17:y:1998:i:3:p:275-288

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474939808800416

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().