Testing for regime switching in Singaporean business cycles
Date
Authors
Breunig, Robert
Stegman, Alison
Journal Title
Journal ISSN
Volume Title
Publisher
World Scientific Publishing Company
Abstract
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.
Description
Keywords
Markov Switching Models, specification testing, nonparametric estimation, moment tests
Citation
Collections
Source
Singapore Economic Review
Type
Working/Technical Paper
Book Title
Entity type
Access Statement
License Rights
Restricted until
Downloads
File
Description