Monte Carlo likelihood-ratio tests for Markov switching models / Gabriel Rodriguez Rondon, Jean-Marie Dufour.: FB3-5/2026-23E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.965211&sl=0
| Department/Agency |
|
|---|---|
| Title | Monte Carlo likelihood-ratio tests for Markov switching models / Gabriel Rodriguez Rondon, Jean-Marie Dufour. |
| Series title |
|
| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
| Electronic document | |
| Note(s) |
|
| Publishing information |
|
| Author / Contributor |
|
| Description | 1 online resource (34, A-23 pages) : graphs. |
| Catalogue number |
|
| Subject terms |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.Page details
- Date modified: