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Penalized likelihood based tests for regime switching in autoregressive models
In this thesis, we are mainly concerned with the basic methodological issue to test for regime switching in various Markov-switching autoregressive models. To this end, we develop some penalized likelihood based tests which neglect the dependence structure in the latent process. We derive the asympt...
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| Formato: | Dissertation |
| Lenguaje: | inglés |
| Publicado: |
Philipps-Universität Marburg
2011
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| Materias: | |
| Acceso en línea: | Texto Completo PDF |
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