Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
Year of publication: |
2007
|
---|---|
Authors: | Psaradakis, Zacharias ; Spagnolo, Nicola |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 6.2007, 3, p. 1091-1091
|
Publisher: |
Berkeley Electronic Press |
Subject: | Markov chain | Monte Carlo simulation | nonlinearity tests | regime switching |
-
Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
Psaradakis, Zacharias, (2002)
-
Identification-robust moment-based tests for Markov switching in autoregressive models
Dufour, Jean-Marie, (2017)
-
Dependence of structural breaks in rating transition dynamics on economic and market variations
Xing, Haipeng, (2018)
- More ...
-
Solá, Martín, (2010)
-
Selecting nonlinear time series models using information criteria
Psaradakis, Zacharias, (2009)
-
Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
Psaradakis, Zacharias, (2002)
- More ...