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Wiley InterScience | ||||||||||||||||||||
  Oxford Bulletin of Economics and StatisticsVolume 65 Issue s1, Pages 703 - 725 Published Online: 12 Dec 2003 © 2010 Blackwell Publishing Ltd and the Department of Economics, University of Oxford
Abstract | References | Full Text: HTML, PDF (Size: 257K) | Related Articles | Citation Tracking  Specification Testing of Markov Switching Models* Copyright 2003 Blackwell Publishing Ltd KEYWORDS C12 • C14 • C22 • C52 Abstract
This paper proposes a set of formal tests to address the goodness-of-fit of Markov switching models. These formal tests are constructed as tests of model consistency and of both parametric and non-parametric encompassing. The formal tests are then combined with informal tests using simulation in combination with non-parametric density and conditional mean estimation. The informal tests are shown to be useful in shedding light on the failure (or success) of the encompassing tests. Several examples are provided. | 
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