Testing for regime switching in Singaporean business cycles

dc.contributor.authorBreunig, Roberten_AU
dc.contributor.authorStegman, Alisonen_AU
dc.date.accessioned2003-11-12en_US
dc.date.accessioned2004-05-19T08:34:55Zen_US
dc.date.accessioned2011-01-05T08:25:37Z
dc.date.available2004-05-19T08:34:55Zen_US
dc.date.available2011-01-05T08:25:37Z
dc.date.created2003en_US
dc.date.updated2015-12-11T10:48:39Z
dc.description.abstractWe 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.en_AU
dc.format.extent188994 bytes
dc.format.extent360 bytes
dc.format.mimetypeapplication/pdfen_US
dc.format.mimetypeapplication/octet-streamen_US
dc.identifier.issn0217-5908
dc.identifier.urihttp://hdl.handle.net/1885/40413en_US
dc.identifier.urihttp://digitalcollections.anu.edu.au/handle/1885/40413
dc.language.isoen_AUen_US
dc.publisherWorld Scientific Publishing Companyen_AU
dc.sourceSingapore Economic Review
dc.subjectMarkov Switching Models
dc.subjectspecification testing
dc.subjectnonparametric estimation
dc.subjectmoment tests
dc.titleTesting for regime switching in Singaporean business cycles
dc.typeWorking/Technical Paper
local.bibliographicCitation.issue1
local.bibliographicCitation.lastpage34
local.bibliographicCitation.startpage25
local.citationWorking Papers in Trade and Development no.20en_US
local.contributor.affiliationEconomics, RSPASen_US
local.contributor.affiliationANUen_US
local.contributor.authoruidBreunig, Robert, u9809765
local.contributor.authoruidStegman, Alison, u3933090
local.description.refereednoen_US
local.identifier.absfor140305 - Time-Series Analysis
local.identifier.ariespublicationMigratedxPub9675
local.identifier.citationmonthsepen_US
local.identifier.citationvolume50
local.identifier.citationyear2003en_US
local.identifier.doi10.1142/S0217590805001834
local.identifier.eprintid2244en_US
local.identifier.scopusID2-s2.0-16344387196
local.identifier.uidSubmittedByMigrated
local.rights.ispublishednoen_US
local.type.statusPublished Versionen_AU

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