Obtaining Critical Values for Test of Markov Regime Switching

Douglas Steigerwald and Valerie Bostwick

University of California at Santa Barbara, Economics Working Paper Series from Department of Economics, UC Santa Barbara

Abstract: For Markov regime-switching models, testing for the possible presence ofmore than one regime requires the use of a non-standard test statistic. Carterand Steigerwald (forthcoming, Journal of Econometric Methods) derive in detailthe analytic steps needed to implement the test ofMarkov regime-switchingproposed by Cho and White (2007, Econometrica). We summarize the implementationsteps and address the computational issues that arise. A newcommand to compute regime-switching critical values, rscv, is introduced andpresented in the context of empirical research.

Keywords: Social and Behavioral Sciences; mixture model; regime switching; multiple equilibria (search for similar items in EconPapers)
Date: 2012-10-20
New Economics Papers: this item is included in nep-ecm and nep-ore
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Citations: View citations in EconPapers (1)

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Journal Article: Obtaining critical values for test of Markov regime switching (2014)
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