Specification testing in Markov-switching time-series models
- 1 January 1996
- journal article
- research article
- Published by Elsevier in Journal of Econometrics
- Vol. 70 (1) , 127-157
- https://doi.org/10.1016/0304-4076(69)41686-9
Abstract
No abstract availableKeywords
This publication has 25 references indexed in Scilit:
- Tests for Parameter Instability and Structural Change With Unknown Change PointEconometrica, 1993
- Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-Nested HypothesesEconometrica, 1991
- A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal DistributionsJournal of Business & Economic Statistics, 1991
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business CycleEconometrica, 1989
- THE CALCULATION OF THE INFORMATION MATRIX TEST FOR BINARY DATA MODELSThe Manchester School, 1988
- Variable Addition and Lagrange Multiplier Tests for Linear and Logarithmic Regression ModelsThe Review of Economics and Statistics, 1988
- Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample propertiesJournal of Econometrics, 1985
- Maximum Likelihood Specification Testing and Conditional Moment TestsEconometrica, 1985
- Computer Generation of Normal Random VariablesJournal of the American Statistical Association, 1976
- Maximum-Likelihood Estimation of Parameters Subject to RestraintsThe Annals of Mathematical Statistics, 1958