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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.

dc.contributor.authorBreunig, Robert
dc.contributor.authorPagan, Adrian
dc.date.accessioned2015-12-13T23:11:27Z
dc.date.available2015-12-13T23:11:27Z
dc.identifier.issn0378-4754
dc.identifier.urihttp://hdl.handle.net/1885/87603
dc.description.abstractMarkov-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.
dc.publisherElsevier
dc.sourceMathematics and Computers in Simulation
dc.subjectKeywords: Algorithms; Computer simulation; Data reduction; Estimation; Financial data processing; Hamiltonians; Mathematical models; Probability; Problem solving; Regression analysis; Markov-switching models; Nonparametric estimation; Simulation methods; Nonlinear Markov-switching models; Nonparametric estimation; Simulation methods
dc.titleDo Markov-switching Models Capture Nonlinearities in the Data? Test Using Nonparametric Methods
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume64
dc.date.issued2004
local.identifier.absfor140304 - Panel Data Analysis
local.identifier.ariespublicationMigratedxPub16958
local.type.statusPublished Version
local.contributor.affiliationBreunig, Robert, College of Business and Economics, ANU
local.contributor.affiliationPagan, Adrian, College of Business and Economics, ANU
local.bibliographicCitation.startpage401
local.bibliographicCitation.lastpage407
local.identifier.doi10.1016/S0378-4754(03)00106-X
dc.date.updated2015-12-12T08:27:44Z
local.identifier.scopusID2-s2.0-0942277639
CollectionsANU Research Publications

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