Testing for regime switching in Singaporean business cycles
We examine a Markov Switching model of Singaporean GDP using a combination of formal moment-based tests and informal graphical tests. The tests confirm that the Markov Switching model fits the data better than a linear, autoregressive alternative. The methods are extended to allow us to identify precisely which features of the data are better captured by the non-linear model. The methods described here allow model selection to be related to the intended use of the model.
|Collections||ANU Research Publications|
|Source:||Singapore Economic Review|
|wp-econ-2003-20.pdf||184.56 kB||Adobe PDF|
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