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Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models

✍ Scribed by René Garcia

Book ID
121720618
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
549 KB
Volume
39
Category
Article
ISSN
0020-6598

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📜 SIMILAR VOLUMES

Erratum: The likelihood ratio test under
Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP
✍ Bruce E. Hansen 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 143 KB 👁 2 views

There was an error in Hansen (1992). I am very grateful to James Hamilton for pointing out the error. Equations ( 2) and (3) in the original read where Q ( a ) is a mean zero Gaussian process with covariance function K(ai, a21 = E(q;(ai)~i(ad). While equation ( 2) is correct, (3) is not. Instead,

Approximating the Non-Null Distribution
Approximating the Non-Null Distribution of the Likelihood Ratio Test Statistic
✍ Prof. H. B. Lawal 📂 Article 📅 1992 🏛 John Wiley and Sons 🌐 English ⚖ 381 KB 👁 3 views

This paper is concerned with investigation into the behavior of the likelihood ratio test statistic G2 when the alternative hypothesis M ( Q ) is the true model. Exact moments of G2 are computed empirically and three approximations are considered for approximating the non-null distribution of G2. Ou