Obtaining critical values for test of Markov regime switching

Valerie Bostwick and Douglas Steigerwald

Stata Journal, 2014, vol. 14, issue 3, 481-498

Abstract: For Markov regime-switching models, a nonstandard test statistic must be used to test for the possible presence of multiple regimes. Carter and Steigerwald (2013, Journal of Econometric Methods 2: 25–34) derive the analytic steps needed to implement the Markov regime-switching test proposed by Cho and White (2007, Econometrica 75: 1671–1720). We summarize the implementation steps and address the computational issues that arise. We then introduce a new command to compute regime-switching critical values, rscv, and present it in the context of empirical research.

Keywords: rscv; Markov regime switching (search for similar items in EconPapers)
Date: 2014
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Working Paper: Obtaining Critical Values for Test of Markov Regime Switching (2012)
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