Hiroyuki Kasahara, Katsumi Shimotsu
arXiv 21 Jan 2018 · Econometrics · 2 citations (OpenAlex)
arXiv:1801.06862 · PDF · DOI · OpenAlex · Extracted main text
Markov regime switching models have been used in numerous empirical studies in economics and finance. However, the asymptotic distribution of the likelihood ratio test statistic for testing the number of regimes in Markov regime switching models has been an unresolved problem. This paper derives the asymptotic distribution of the likelihood ratio test statistic for testing the null hypothesis of $M_0$ regimes against the alternative hypothesis of $M_0 + 1$ regimes for any $M_0 \geq 1$ both under the null hypothesis and under local alternatives. We show that the contiguous alternatives converge to the null hypothesis at a rate of $n^{-1/8}$ in regime switching models with normal density. The asymptotic validity of the parametric bootstrap is also established.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Carrasco, M., Hu, L., and Ploberger, W (2014) Optimal Test for Markov Switching Parameters | 1.000 | 9 | 4 | 100% |
| 2 | Qu, Z. and Zhuo, F (2017) Likelihood Ratio Based Tests for Markov Regime Switching, Preprint, Boston Unversity | 0.928 | 4 | 3 | 100% |
| 3 | Kasahara, H. and Shimotsu, K (2015) Testing the Number of Components in Normal Mixture Regression Models self | 0.874 | 9 | 4 | 67% |
| 4 | Cho, J. S. and White, H (2007) Testing for Regime Switching | 0.811 | 4 | 2 | 100% |
| 5 | Liu, X. and Shao, Y (2003) Asymptotics for Likelihood Ratio Tests under Loss of Identifiability | 0.644 | 4 | 1 | 100% |
| 6 | Andrews, D. W. K (1999) Estimation When a Parameter is on a Boundary | 0.644 | 2 | 2 | 100% |
| 7 | Andrews, D. W. K. and Ploberger, W (1994) Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative | 0.644 | 2 | 2 | 100% |
| 8 | Chen, J. and Li, P (2009) Hypothesis Test for Normal Mixture Models: The EM Approach | 0.644 | 2 | 2 | 100% |
| 9 | Chen, J., Li, P., and Fu, Y (2012) Inference on the Order of a Normal Mixture | 0.644 | 2 | 2 | 100% |
| 10 | Gassiat, E. and Keribin, C (2000) The Likelihood Ratio Test for the Number of Components in a Mixture with Markov Regime | 0.644 | 2 | 2 | 100% |
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