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040 |aCaOODSP|beng|erda|cCaOODSP
0861 |aFB3-5/2026-23E-PDF
1001 |aRodriguez Rondon, Gabriel, |eauthor.
24510|aMonte Carlo likelihood-ratio tests for Markov switching models / |cGabriel Rodriguez Rondon, Jean-Marie Dufour.
264 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |cJuly 2, 2026.
264 4|c©2026
300 |a1 online resource (34, A-23 pages) : |bgraphs.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aStaff working paper = |aDocument de travail du personnel, |x1701-9397 ; |v2026-23
500 |aTitle from cover.
504 |aIncludes bibliographical references (pages 29-34, A-23).
5203 |a"Markov switching models are widely used to capture nonlinearities arising from regime shifts. Most existing tests for the number of regimes focus on one versus two regimes. Even in such simple cases, this type of problem raises issues of non-standard asymptotic distributions, identification failure, and nuisance parameters. We address these difficulties by applying the technique of Monte Carlo tests, which yields both finite-sample and asymptotically valid procedures, without the need to establish an asymptotic distributional theory, nor the existence of an asymptotic distribution"--Abstract.
650 0|aHidden Markov models.
650 0|aStatistical hypothesis testing.
650 6|aModèles de Markov cachés.
650 6|aTests d'hypothèses (Statistique)
7102 |aBank of Canada, |eissuing body.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2026-23.|w(CaOODSP)9.806221
85640|qPDF|s894 KB|uhttps://publications.gc.ca/collections/collection_2026/banque-bank-canada/FB3-5-2026-23-eng.pdf