Do Markov-switching models capture nonlinearities in the data?

Author:

Breunig Robert V,Pagan Adrian R

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference15 articles.

1. Testing continuous-time models of the spot interest rate;Ait-Sahalia;Rev. Financial Stud.,1996

2. Asymmetry and duration dependence in Australian GDP and unemployment;Bodman;Econ. Record,1998

3. R. Breunig, A.R. Pagan, Some simple methods for assessing Markov switching models, mimeo, Australian National University (available at http://econrsss.anu.edu.au/∼breunig/), 2001.

4. M.P. Clements, A.B.C. Galvao, Conditional mean functions of non-linear models of us output, mimeo, University of Warwick, 2000.

5. Asymptotic null distribution of the likelihood ratio test in Markov switching models;Garcia;Int. Econ. Rev.,1998

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