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Testing between Different Types of Switching Regression Models

Author

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  • Frieder Knuepling
  • Jason Allen

Abstract

During the last years a number of methodological papers on models with periodic discrete parameter shifts have revived interest in the regime switching models and have inspired much applied work in econometrics. Different types of switching models are in use, and in many cases the use of a particular model type is not justified on statistical grounds. This paper suggests a new procedure to test between different types of regime switching models based on embedding these models within a more general framework. Monte Carlo simulation results suggest high power of the proposed test procedure.

Suggested Citation

  • Frieder Knuepling & Jason Allen, 2015. "Testing between Different Types of Switching Regression Models," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 58(3), pages 30-63.
    • Handle: RePEc:eei:journl:v:58:y:2015:i:3:p:30-63
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    More about this item

    Keywords

    Regime switching model; econometric test; Markov switching threshold; single variable models.;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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