Testing for regime switching in Singaporean business cycles
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Breunig, Robert; Stegman, Alison
Description
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 |
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Type: | Working/Technical Paper |
URI: | http://hdl.handle.net/1885/40413 http://digitalcollections.anu.edu.au/handle/1885/40413 |
Source: | Singapore Economic Review |
DOI: | 10.1142/S0217590805001834 |
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wp-econ-2003-20.pdf | 184.56 kB | Adobe PDF | ![]() |
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