Identification-robust moment-based tests for Markov switching in autoregressive models

Jean-Marie Dufour and Richard Luger

Year of publication:	2017
Authors:	Dufour, Jean-Marie ; Luger, Richard
Published in:	Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 36.2017, 6/9, p. 713-727
Subject:	Exact inference \| Markov chains \| Monte Carlo tests \| mixture distributions \| parametric bootstrap \| regime switching \| Markov-Kette \| Markov chain \| Bootstrap-Verfahren \| Bootstrap approach \| Schätztheorie \| Estimation theory \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Schätzung \| Estimation \| Statistischer Test \| Statistical test

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