Skip navigation
Skip navigation

Do Markov-switching Models Capture Nonlinearities in the Data? Test Using Nonparametric Methods

Breunig, Robert; Pagan, Adrian

Description

Markov-switching models have become popular alternatives to linear autoregressive models. Many papers which estimate nonlinear models make little attempt to demonstrate whether the nonlinearities they capture are of interest or if the models differ substantially from the linear option. By simulating the models and nonparametrically estimating functions of the simulated data, we can evaluate if and how the nonlinear and linear models differ.

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
URI: http://hdl.handle.net/1885/87603
Source: Mathematics and Computers in Simulation
DOI: 10.1016/S0378-4754(03)00106-X

Download

There are no files associated with this item.


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  20 July 2017/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator