Testing for Regime Switching

By Jin Seo Cho, Halbert White. 2007

170 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/77ab1f3667164d256cadacbe8d85c4077ea89fb1

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Citations in the corpus

Using mixtures in econometric models: a brief review and some new results (2016, methodology): “Finite mixtures have also been employed in regime switching models; see, e.g. Cho and White (2007).”
Regime Changes and Financial Markets (2012, background): “Davies (1977), Hansen (1992), and Cho and White (2007) further discuss this issue.”
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations (2009, background): “The fact that we obtain the same test regardless of the path that we follow to obtain normality is worth remarking, as this feature is not shared by tests of normality versus a discrete mixture of normals (see Cho & White, 2007).”
A model of carbon price interactions with macroeconomic and energy dynamics (2011, methodology): “22 See Psaradakis and Spagnolo (2002) and Cho and White (2007) for statistical tests to determine the number of regimes in Markov-switching models.”
A new approach to model regime switching (2017, background): “Moreover, various statistical properties of the model have been studied by Hansen (1992), Hamilton (1996), Garcia (1998), Timmermann (2000), and Cho and White (2007), among others.”
Macroeconomic Regimes and Regime Shifts (2016, unknown): “Hansen (1992), Garcia (1998), Cho and White (2007), and Carter and Steigerwald (2012) examined the distribution of the likelihood ratio statistic in this setting, though implementing their procedures can be quite involved if the model is at all complicated.”
Testing for Threshold Effects in Regression Models (2010, methodology): “Recall that Q(θ0, γ ) is the same for all γ since γ is not identified under the null. However, once we establish the consistency for a given γ and that Q(θ0, γ ) > supθ / ∈ Q(θ, γ ), the verification of the separability is not very difficult since γ appears only through an indicator function. We now”
OPTIMAL TEST FOR MARKOV SWITCHING PARAMETERS (2014, background): “Recently, Cho and White (2007) propose a likelihood ratio test for iid mixture in dynamic models and show that this test has power against Markov-switching alternatives even though it ignores the temporal dependence of the Markov chain.”