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MSTest: An R-Package for Testing Markov Switching Models
G Rodriguez-Rondon, JM Dufour - arxiv preprint arxiv:2411.08188, 2024 - arxiv.org
We present the R package MSTest, which implements hypothesis testing procedures to
identify the number of regimes in Markov switching models. These models have wide …
identify the number of regimes in Markov switching models. These models have wide …
Testing the number of regimes in Markov regime switching models
Markov regime switching models have been used in numerous empirical studies in
economics and finance. However, the asymptotic distribution of the likelihood ratio test …
economics and finance. However, the asymptotic distribution of the likelihood ratio test …
Does purchasing power parity hold sometimes? Regime switching in real exchange rates
HT Lee, G Yoon - Applied Economics, 2013 - Taylor & Francis
Standard unit root tests are not very powerful in drawing conclusions regarding the validity of
Purchasing Power Parity (PPP). Rather than asking whether PPP holds throughout the …
Purchasing Power Parity (PPP). Rather than asking whether PPP holds throughout the …
[PDF][PDF] Has China's Economy Become More Stable and Inertial? Nonlinear Investigations Based on Structural Break and Duration Dependent Regime Switching …
A Hu, J Lu, Z **ao - Annals of Economics and Finance, 2011 - researchgate.net
In this study we use both the structural break model and duration dependent transition
model to study the characteristics of China's GDP growth from 1953 to 2009. The empirical …
model to study the characteristics of China's GDP growth from 1953 to 2009. The empirical …
Nonlinear investigations of China's agricultural transformation based on the structural break regime switching model
J Lu, A Hu, Y Yan - China Agricultural Economic Review, 2012 - emerald.com
Purpose–Investigating the characteristics of the transformation of China's agricultural growth
and the institutional reforms during the whole transition period in the 1980s will help to …
and the institutional reforms during the whole transition period in the 1980s will help to …