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Zbl 0834.62086
Hamilton, James D.
Specification testing in Markov-switching time-series models. (English)
[J] J. Econom. 70, No.1, 127-157 (1996). ISSN 0304-4076

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 2000:: *62M10 Time series, etc. (statistics)
62P20 Appl. of statistics to economics
62M02 Markov processes: hypothesis testing

Keywords: regime-switching models; Lagrange multiplier tests; specification tests; Markov-switching time-series models; omitted autocorrelation; omitted ARCH; misspecification; omitted explanatory variables; Monte Carlo

Cited in: Zbl 1198.62110

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