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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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| Формат: | Dissertation |
| Язык: | английский |
| Опубликовано: |
Philipps-Universität Marburg
2011
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| Online-ссылка: | PDF-полный текст |
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