Breunig, Robert; Najarian, Serinah; Pagan, Adrian - In: Oxford Bulletin of Economics and Statistics 65 (2003) s1, pp. 703-725
This paper proposes a set of formal tests to address the goodness-of-fit of Markov switching models. These formal tests are constructed as tests of model consistency and of both parametric and non-parametric encompassing. The formal tests are then combined with informal tests using simulation in...