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Specification testing in Markov-switching time-series models. (English) Zbl 0834.62086
Summary: This paper develops a series of specification tests of Markov-switching time-series models. Tests for omitted autocorrelation, omitted ARCH, misspecification of the Markovian dynamics, and omitted explanatory variables are proposed. All of the tests can be constructed as a natural byproduct of the routine used to calculate the ‘smoothed’ probability that a given observation came from a particular regime, and do not require estimation of additional parameters. The paper performs Monte Carlo analysis of the tests and briefly illustrates their use with an empirical application.

MSC:
62M10Time series, auto-correlation, regression, etc. (statistics)
62P20Applications of statistics to economics
62M02Markov processes: hypothesis testing