OPTIMAL TEST FOR MARKOV SWITCHING PARAMETERS

By M. Carrasco, Liang Hu, W. Ploberger. 2014

72 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/6d0978465861a277b553a6d67b99fe430ae7fd02

Citations in the corpus

• Macroeconomic Regimes and Regime Shifts (2016, unknown): “To implement the Carrasco, Hu, and Ploberger (2014) test of the null hypothesis of no change in regime against the alternative that the first element of β switches according to a Markov chain, let ℓ (1) t denote the first element of ht and calculate ℓ (2) t = ∂2ℓt ∂θ21 θ=θ̂0 γt(ρ) = ℓ (2) t + ℓ (1)…”
• Markov-Switching MIDAS Models (2013, unknown): “Carrasco, Hu, and Ploberger (2009) recently proposed a new method for testing the constancy of parameters in Markov-switching models.”