Testing the null hypothesis of no regime switching with an application to GDP growth rates

Marmer, Vadim

doi:10.1007/s00181-007-0145-2

Cited by 3 publications

(2 citation statements)

References 24 publications

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“…1 Qu and Zhuo (2017) extend the analysis of Cho and White (2007) and derive the asymptotic distribution of the LRTS that properly takes into account the temporal dependence of the regimes under some restrictions on the transition probabilities of latent regimes. Marmer (2008) and Dufour and Luger (2017) develop tests for the null hypothesis of no regime switching by using different approaches from the LRTS.…”

Section: Introductionmentioning

confidence: 99%

Testing the Number of Regimes in Markov Regime Switching Models

Kasahara¹,

Shimotsu²

2018

Preprint

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Markov regime switching models have been used in numerous empirical studies in economics and finance. However, the asymptotic distribution of the likelihood ratio test statistic for testing the number of regimes in Markov regime switching models has been an unresolved problem. This paper derives the asymptotic distribution of the likelihood ratio test statistic for testing the null hypothesis of M 0 regimes against the alternative hypothesis of M 0 + 1 regimes for any M 0 ≥ 1 both under the null hypothesis and under local alternatives. We show that the contiguous alternatives converge to the null hypothesis at a rate of n −1/8 in regime switching models with normal density. The asymptotic validity of the parametric bootstrap is also established.

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Section: Introductionmentioning

confidence: 99%

Testing the Number of Regimes in Markov Regime Switching Models

Kasahara¹,

Shimotsu²

2018

Preprint

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“…Girardin ( 2005) used the regime-switching techniques to examine the similarities of the GDP growth-cycle features of ten East Asian countries. Marmer (2008) presented tests for the null hypothesis of no regime switching in Hamilton's regime switching model. Sugita (2008) introduced a Bayesian approach to a Markov-switching co-integration model that allowed the co-integration relationships to be switched on and off depending on the regime.…”

Section: Introductionmentioning

confidence: 99%

Nonlinear investigations of China's agricultural transformation based on the structural break regime switching model

Lü

Yan

2012

China Agricultural Economic Review

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Purpose -Investigating the characteristics of the transformation of China's agricultural growth and the institutional reforms during the whole transition period in the 1980s will help to understand China's economic and agricultural reform and offer some successful experiences to other developing countries. The purpose of this paper is to answer the following questions: Has China's agricultural output experienced a structural break toward a more stable state? When did the break point happen? What factors did play key roles during the transformation? Design/methodology/approach -This study applies the nonlinear structural break regime switching analysis which includes two different models: one with the structural break only in the variance and one with the structural break in both shift parameters and the variance. Findings -The empirical results showed that it took five years for agricultural development in China to finish the reform that began in 1980. The agricultural growth had become more stable after the break point which was around 1985-1986. Both the primary industry and agricultural sector had transformed from a "low growth rate, high volatility" state to a "high growth rate, low volatility" state. Among the different driving factors, the Household Responsibility System (HRS) and preferential policies for agricultural products played the most important roles in the early stage of the economic reform. Originality/value -The authors first study the structural break of China's agricultural output by the regime switching model. From the empirical results, the structural break point was determined to be around 1985-1986, after which China's agricultural output had become more stable.

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Does purchasing power parity hold sometimes? Regime switching in real exchange rates

Lee¹,

Yoon

2013

Applied Economics

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Testing the null hypothesis of no regime switching with an application to GDP growth rates

Cited by 3 publications

References 24 publications

Testing the Number of Regimes in Markov Regime Switching Models

Testing the Number of Regimes in Markov Regime Switching Models

Nonlinear investigations of China's agricultural transformation based on the structural break regime switching model

Does purchasing power parity hold sometimes? Regime switching in real exchange rates

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