In this thesis, we are mainly concerned with the basic methodological issue to test for regime switching in various Markov-switching autoregressive models. To this end, we develop some penalized likelihood based tests which neglect the dependence structure in the latent process. We derive the asymptotic distribution of the corresponding test statistics under the hypothesis. Finally, we apply our methods to financial and macroeconomic time series
A theory of testing under non-standard conditions is developed. By viewing the likelihood as a funct...
In the present work we study di®erent methods for testing whether or not a change has occurred in th...
Tests for business cycle asymmetries are developed for Markov-switching autoregressive models. The t...
In this thesis, we are mainly concerned with the basic methodological issue to test for regime switc...
Testing for regime switching when the regime switching probabilities are specified either as constan...
When testing for Markov switching in mean or intercept of an autoregressive process, it is important...
The statistical properties of the likelihood ratio test statistic (LRTS) for autoregressive regime-s...
Markov regime switching models are widely considered in economics and \u85nance. Although there have...
This paper develops tests of the null hypothesis of linearity in the context of autoregressive model...
Recent economic developments have shown the importance of spillover and contagion effects in financi...
In this work we consider multivariate autoregressions subject to Markovian changes in regime. Estima...
Empirical research with Markov regime-switching models often requires the researcher not only to est...
Most of the asymptotic results for Markov regime-switching models with possible unit roots are based...
An autoregressive model with Markov regime-switching is analyzed that reflects on the properties of ...
In this paper we propose a modified quasi-likelihood ratio test of the null hypothesis of one regime...
A theory of testing under non-standard conditions is developed. By viewing the likelihood as a funct...
In the present work we study di®erent methods for testing whether or not a change has occurred in th...
Tests for business cycle asymmetries are developed for Markov-switching autoregressive models. The t...
In this thesis, we are mainly concerned with the basic methodological issue to test for regime switc...
Testing for regime switching when the regime switching probabilities are specified either as constan...
When testing for Markov switching in mean or intercept of an autoregressive process, it is important...
The statistical properties of the likelihood ratio test statistic (LRTS) for autoregressive regime-s...
Markov regime switching models are widely considered in economics and \u85nance. Although there have...
This paper develops tests of the null hypothesis of linearity in the context of autoregressive model...
Recent economic developments have shown the importance of spillover and contagion effects in financi...
In this work we consider multivariate autoregressions subject to Markovian changes in regime. Estima...
Empirical research with Markov regime-switching models often requires the researcher not only to est...
Most of the asymptotic results for Markov regime-switching models with possible unit roots are based...
An autoregressive model with Markov regime-switching is analyzed that reflects on the properties of ...
In this paper we propose a modified quasi-likelihood ratio test of the null hypothesis of one regime...
A theory of testing under non-standard conditions is developed. By viewing the likelihood as a funct...
In the present work we study di®erent methods for testing whether or not a change has occurred in th...
Tests for business cycle asymmetries are developed for Markov-switching autoregressive models. The t...
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