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Robust and efficient specification tests in Markov-switching autoregressive models

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  • Masaru Chiba

    (Aichi Gakuin University)

Abstract

This study develops two types of robust test statistics applicable to Markov-switching autoregressive models. The test statistics can be constructed by sum functionals of the “smoothed” probabilities that a given observation came from a particular regime and do not require the estimation of additional parameters. Monte Carlo experiments show that the tests have good finite-sample size and power properties. The tests are applied to investigate the fluctuations in real GNP growth in the U.S.

Suggested Citation

  • Masaru Chiba, 2023. "Robust and efficient specification tests in Markov-switching autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 99-137, April.
    • Handle: RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09277-5
    DOI: 10.1007/s11203-022-09277-5
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