The present paper offers a careful description of empirical identification of possible multiple changes in regime. We apply recently developed tools designed to select between regime-switching models among a broad class of linear and nonlinear regression models and provide a discussion of the...

A new approach recently suggested by Hamilton for flexible parametric inference in nonlinear models is examined through simulation studies. Hamilton suggests a new test for neglected nonlinearity and we compare it with the neural network test, Tsay's test, White's dynamic misspecification test,...

The paper considers the task of selecting a flexible nonlinear model which can be used as a baseline model. The baseline model may be used as a testing ground for more structural models which are congruent with economic theory. From the limited empirical evidence obtained here it is tentatively...