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Specification Testing of Markov Switching Models

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  • Robert Breunig
  • Serinah Najarian
  • Adrian Pagan
Abstract
This paper proposes a set of formal tests to address the goodness‐of‐fit of Markov switching models. These formal tests are constructed as tests of model consistency and of both parametric and non‐parametric encompassing. The formal tests are then combined with informal tests using simulation in combination with non‐parametric density and conditional mean estimation. The informal tests are shown to be useful in shedding light on the failure (or success) of the encompassing tests. Several examples are provided.

Suggested Citation

  • Robert Breunig & Serinah Najarian & Adrian Pagan, 2003. "Specification Testing of Markov Switching Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 703-725, December.
    • Handle: RePEc:bla:obuest:v:65:y:2003:i:s1:p:703-725
    DOI: 10.1046/j.0305-9049.2003.00093.x
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