Bostwick, Valerie K.; Steigerwald, Douglas G. - In: Stata Journal 14 (2014) 3, pp. 481-498
For Markov regime-switching models, a nonstandard test statistic must be used to test for the possible presence of multiple regimes. Carter and Steigerwald (2013, Journal of Econometric Methods 2: 25–34) derive the analytic steps needed to implement the Markov regime-switching test proposed by...