Nonlinearity testing, model selection and forecasting in the prescence of Markov regime switching

Testing for regime switching in Singaporean business cycles

Breunig, Robert
Stegman, Alison

December 2015

We examine a Markov Switching model of Singaporean GDP using a combination of formal moment-based te...

Obtaining Critical Values for Test of Markov Regime Switching

Steigerwald, Douglas G
Bostwick, Valerie K

October 2012

For Markov regime-switching models, testing for the possible presence ofmore than one regime require...

Optimal test for Markov switching

Marine Carrasco
Liang Hu

We propose a new test for the stability of parameters in a Markov switching model where regime chang...

The Markov regime switching model as a trading tool

Eftekhari, B.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:3015.94405(34) / BLDSC - British Libr...

Power Properties of Nonlinearity Tests for Time Series with Markov Regimes

Psaradakis Zacharias
Spagnolo Nicola

This paper examines the relative performance of some popular nonlinearity tests when applied to time...

Power properties of nonlinearity tests for time series with Markov regimes

Psaradakis, Zacharias
Spagnolo, N.

January 2002

This paper examines the relative performance of some popular nonlinearity tests when applied to time...

Nonlinearities in stochastic volatility models

Tsiotas, G.K.

January 2002

Available from British Library Document Supply Centre-DSC:DXN051943 / BLDSC - British Library Docume...

Nonlinear error-correction models with regime switching

Spagnolo, F.

January 2001

Available from British Library Document Supply Centre-DSC:DXN047872 / BLDSC - British Library Docume...

Do Markov-switching Models Capture Nonlinearities in the Data? Test Using Nonparametric Methods

Breunig, Robert
Pagan, Adrian

December 2015

Markov-switching models have become popular alternatives to linear autoregressive models. Many paper...

Modelling identification and forecasting nonlinear processes

Marrocu, E.

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN040445 / BLDSC - British Library D...

Moments of Markov switching models

Timmerman, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(323) / BLDSC - British Libra...

Markov Switching

Song, Y
Woźniak, T

March 2021

Markov switching models are a family of models that introduces time variation in the parameters in t...

Do Markov-switching models capture nonlinearities in the data? tests using nonparametric methods

Breunig, Robert
Pagan, Adrian

January 2003

Markov-switching models have become popular alternatives to linear autoregressive models. Many paper...

Obtaining critical values for test of Markov regime switching

Bostwick, Valerie K.
Steigerwald, Douglas G.

October 2017

For Markov regime-switching models, a nonstandard test statistic must be used to test for the possib...

Obtaining Critical Values for Test of Markov Regime Switching

Steigerwald, Douglas G
Bostwick, Valerie K

October 2012

For Markov regime-switching models, testing for the possible presence ofmore than one regime require...

Testing for regime switching in Singaporean business cycles

Breunig, Robert
Stegman, Alison

December 2015

We examine a Markov Switching model of Singaporean GDP using a combination of formal moment-based te...

Obtaining Critical Values for Test of Markov Regime Switching

Steigerwald, Douglas G
Bostwick, Valerie K

October 2012

For Markov regime-switching models, testing for the possible presence ofmore than one regime require...

Optimal test for Markov switching

Marine Carrasco
Liang Hu

We propose a new test for the stability of parameters in a Markov switching model where regime chang...

The Markov regime switching model as a trading tool

Eftekhari, B.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:3015.94405(34) / BLDSC - British Libr...

Power Properties of Nonlinearity Tests for Time Series with Markov Regimes

Psaradakis Zacharias
Spagnolo Nicola

This paper examines the relative performance of some popular nonlinearity tests when applied to time...

Power properties of nonlinearity tests for time series with Markov regimes

Psaradakis, Zacharias
Spagnolo, N.

January 2002

This paper examines the relative performance of some popular nonlinearity tests when applied to time...

Nonlinearities in stochastic volatility models

Tsiotas, G.K.

January 2002

Available from British Library Document Supply Centre-DSC:DXN051943 / BLDSC - British Library Docume...

Nonlinear error-correction models with regime switching

Spagnolo, F.

January 2001

Available from British Library Document Supply Centre-DSC:DXN047872 / BLDSC - British Library Docume...

Do Markov-switching Models Capture Nonlinearities in the Data? Test Using Nonparametric Methods

Breunig, Robert
Pagan, Adrian

December 2015

Markov-switching models have become popular alternatives to linear autoregressive models. Many paper...

Modelling identification and forecasting nonlinear processes

Marrocu, E.

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN040445 / BLDSC - British Library D...

Moments of Markov switching models

Timmerman, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(323) / BLDSC - British Libra...

Markov Switching

Song, Y
Woźniak, T

March 2021

Markov switching models are a family of models that introduces time variation in the parameters in t...

Do Markov-switching models capture nonlinearities in the data? tests using nonparametric methods

Breunig, Robert
Pagan, Adrian

January 2003

Markov-switching models have become popular alternatives to linear autoregressive models. Many paper...

Obtaining critical values for test of Markov regime switching

Bostwick, Valerie K.
Steigerwald, Douglas G.

October 2017

For Markov regime-switching models, a nonstandard test statistic must be used to test for the possib...

Obtaining Critical Values for Test of Markov Regime Switching

Steigerwald, Douglas G
Bostwick, Valerie K

October 2012

For Markov regime-switching models, testing for the possible presence ofmore than one regime require...

Testing for regime switching in Singaporean business cycles

Breunig, Robert
Stegman, Alison

December 2015

We examine a Markov Switching model of Singaporean GDP using a combination of formal moment-based te...

Obtaining Critical Values for Test of Markov Regime Switching

Steigerwald, Douglas G
Bostwick, Valerie K

October 2012

For Markov regime-switching models, testing for the possible presence ofmore than one regime require...

Optimal test for Markov switching

Marine Carrasco
Liang Hu

We propose a new test for the stability of parameters in a Markov switching model where regime chang...

Nonlinearity testing, model selection and forecasting in the prescence of Markov regime switching

Abstract

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Nonlinearity testing, model selection and forecasting in the prescence of Markov regime switching

Abstract

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