Obtaining critical values for test of Markov regime switching
Valerie K. Bostwick
Department of Economics
University of California, Santa Barbara
Santa Barbara, CA
[email protected]
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Douglas G. Steigerwald
Department of Economics
University of California, Santa Barbara
Santa Barbara, CA
[email protected]
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Abstract. For Markov regime-switching models, a nonstandard test statistic
must be used to test for the possible presence of multiple regimes. Carter and
Steigerwald (2013, Journal of Econometric Methods 2: 25–34) derive the analytic
steps needed to implement the Markov regime-switching test proposed by
Cho and White (2007, Econometrica 75: 1671–1720). We summarize the implementation
steps and address the computational issues that arise. We then introduce
a new command to compute regime-switching critical values, rscv, and
present it in the context of empirical research.
View all articles by these authors:
Valerie K. Bostwick, Douglas G. Steigerwald
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rscv, Markov regime switching
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