Kim, Chang-jin (contributor); Morley, James C. (contributor) - 2003 - [Elektronische Ressource], rev
small
sample distribution of the “bounce-back” effect conditional on Markov switching. Third,
we consider whether the … distribution of the test statistic
under the null. Specifically, we simulate 1000 series using estimates for a linear AR(2)
model … Monte Carlo distribution displayed in Figure 3.
7
Thus, we
strongly reject linearity for U.S. GDP in favour of Markov …