Testing the null hypothesis of no regime switching with an application to GDP growth rates

Vadim Marmer ()

Microeconomics.ca working papers from Vancouver School of Economics

Abstract: This paper presents tests for the null hypothesis of no regime switching in Hamilton's (1989) regime switching model. The test procedures exploit similarities between regime switching models, autoregressions with measurement errors, and finite mixture models. The proposed tests are computationally simple and, contrary to likelihood based tests, have a standard distribution under the null. When the methodology is applied to US GDP growth rates, no strong evidence of regime switching is found.

Keywords: regime switching; LM tests; GMM; matching methods; GDP growth rates (search for similar items in EconPapers)
Pages: 31 pages
Date: 2009-11-02, Revised 2009-11-03
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://microeconomics.ca/vadim_marmer/hmt15.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 503 Service Unavailable (http://microeconomics.ca/vadim_marmer/hmt15.pdf [302 Found]--> https://match.microeconomics.ca/vadim_marmer/hmt15.pdf)

Related works:
Journal Article: Testing the null hypothesis of no regime switching with an application to GDP growth rates (2008)
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:ubc:pmicro:vadim_marmer-2009-59

Access Statistics for this paper

More papers in Microeconomics.ca working papers from Vancouver School of Economics
Bibliographic data for series maintained by Maureen Chin ().