Janczura, Joanna; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2010
In this paper we propose a novel goodness-of-fit testing scheme for regime-switching models. We consider models with an observable, as well as, a latent state process. The test is based on the Kolmogorov-Smirnov supremum-distance statistic and the concept of the weighted empirical distribution...