Goodness-of-fit testing for regime-switching models

In this paper we propose a novel goodness-of-fit testing scheme for regime-switching models. We consider models with an observable, as well as, a latent state process. The test is based on the Kolmogorov-Smirnov supremum-distance statistic and the concept of the weighted empirical distribution function. We apply the proposed scheme to test whether a 2-state Markov regime-switching model fits electricity spot price data.

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Year of publication:	2010-05-24
Authors:	Janczura, Joanna ; Weron, Rafal
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Regime-switching \| Goodness-of-fit \| Weighted empirical distribution function \| Kolmogorov-Smirnov test

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C52 - Model Evaluation and Testing ; C12 - Hypothesis Testing ; Q40 - Energy. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008595627