Steigerwald, Douglas G; Bostwick, Valerie K - Department of Economics, University of California-Santa … - 2012
For Markov regime-switching models, testing for the possible presence ofmore than one regime requires the use of a non-standard test statistic. Carterand Steigerwald (forthcoming, Journal of Econometric Methods) derive in detailthe analytic steps needed to implement the test ofMarkov...