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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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| Định dạng: | Dissertation |
| Ngôn ngữ: | Tiếng Anh |
| Được phát hành: |
Philipps-Universität Marburg
2011
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| Những chủ đề: | |
| Truy cập trực tuyến: | Bài toàn văn PDF |
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| Tóm tắt: | 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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| DOI: | 10.17192/z2011.0120 |