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- W3125012326 abstract "Markov regime switching models have been used in numerous empirical studies in economics and finance. However, the asymptotic distribution of the likelihood ratio test statistic for testing the number of regimes in Markov regime switching models has been an unresolved problem. This paper derives the asymptotic distribution of the likelihood ratio test statistic for testing the null hypothesis of $M_0$ regimes against the alternative hypothesis of $M_0 + 1$ regimes for any $M_0 geq 1$ both under the null hypothesis and under local alternatives. We show that the contiguous alternatives converge to the null hypothesis at a rate of $n^{-1/8}$ in regime switching models with normal density. The asymptotic validity of the parametric bootstrap is also established." @default.
- W3125012326 created "2021-02-01" @default.
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- W3125012326 date "2018-01-21" @default.
- W3125012326 modified "2023-09-26" @default.
- W3125012326 title "Testing the Number of Regimes in Markov Regime Switching Models" @default.
- W3125012326 doi "https://doi.org/10.48550/arxiv.1801.06862" @default.
- W3125012326 hasPublicationYear "2018" @default.
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