Kasahara, Hiroyuki; Okimoto, Tatsuyoshi; Shimotsu, Katsumi - In: The Japanese Economic Review 65 (2014) 1, pp. 25-41
type="main" <p>In this paper we propose a modified quasi-likelihood ratio test of the null hypothesis of one regime against the alternative of two regimes in Markov regime-switching models. The asymptotic distribution of the proposed test statistic is a simple function of Gaussian random variables,...</p>