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.
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页码：99 / 137
页数：39
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