Testing for Regime Switching in Singaporean Business Cycles
Robert Breunig () and
Alison Stegman ()
Departmental Working Papers from The Australian National University, Arndt-Corden Department of Economics
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 non-linear 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)
Pages: 15 pages
New Economics Papers: this item is included in nep-ecm, nep-mac and nep-sea
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Journal Article: TESTING FOR REGIME SWITCHING IN SINGAPOREAN BUSINESS CYCLES (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:pas:papers:2003-20
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