TESTING FOR REGIME SWITCHING IN SINGAPOREAN BUSINESS CYCLES
Robert Breunig () and
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Alison Stegman: Research School of Pacific and Asian Studies, Australian National University, Canberra ACT 0200, Australia
The Singapore Economic Review (SER), 2005, vol. 50, issue 01, 25-34
We examine a Markov-Switching model of Singaporean GDP using a combination of formal moment-based tests and informal graphical tests. The tests confirm that the Markov-Switching model fits the data better than a linear, autoregressive alternative. The methods are extended to allow us to identify precisely which features of the data are better captured by the nonlinear model. The methods described here allow model selection to be related to the intended use of the model.
Keywords: Markov-Switching models; specification testing; nonparametric estimation; moment tests (search for similar items in EconPapers)
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Working Paper: Testing for Regime Switching in Singaporean Business Cycles (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:serxxx:v:50:y:2005:i:01:n:s0217590805001834
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