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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...
সংরক্ষণ করুন:
| প্রধান লেখক: | |
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| অন্যান্য লেখক: | |
| বিন্যাস: | Dissertation |
| ভাষা: | ইংরেজি |
| প্রকাশিত: |
Philipps-Universität Marburg
2011
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| বিষয়গুলি: | |
| অনলাইন ব্যবহার করুন: | পিডিএফ এ সম্পূর্ন পাঠ |
| ট্যাগগুলো: |
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| সংক্ষিপ্ত: | 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 asymptotic distribution of the corresponding test statistics under the hypothesis. Finally, we apply our methods to financial and macroeconomic time series. |
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| ডিওআই: | 10.17192/z2011.0120 |