Psaradakis, Zacharias (1998) Bootstrap-based evaluation of Markov-switching time series models. Econometric Reviews 17 (3), pp. 275-288. ISSN 0747-4938.
Abstract
This paper explores the possibility of evaluating the adequacy of Markov-switching time series models by comparing selected functionals (such as the spectral density function and moving empirical moments) obtained from the data with those of the fitted model using a bootstrap algorithm. The proposed model checking procedure is easy to implement and flexible enough to be adapted to a wide variety of models with parameters subject to Markov regime-switching. Examples with real and artificial data illustrate the potential of the methodology.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 21 Jul 2020 14:53 |
| Last Modified: | 02 Aug 2023 18:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32637 |
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