Robust and efficient specification tests in Markov-switching autoregressive models

被引：0

作者：

Chiba, Masaru ^{[1
]}

机构：

[1] Aichi Gakuin Univ, Fac Management, 3-1-1 Meijo, Nagoya, Aichi 4628739, Japan

来源：

STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES | 2023年 / 26卷 / 01期

基金：

日本学术振兴会;

关键词：

Markov-switching model; Lagrange multiplier test; Bartlett identity; TIME-SERIES; SAMPLE PROPERTIES; UNITED-STATES; HETEROSKEDASTICITY; FLUCTUATIONS; PARAMETER; INFERENCE; RATES;

D O I：

10.1007/s11203-022-09277-5

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This study develops two types of robust test statistics applicable to Markov-switching autoregressive models. The test statistics can be constructed by sum functionals of the "smoothed" probabilities that a given observation came from a particular regime and do not require the estimation of additional parameters. Monte Carlo experiments show that the tests have good finite-sample size and power properties. The tests are applied to investigate the fluctuations in real GNP growth in the U.S.

引用

页码：99 / 137

页数：39

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