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    Bootstrap-based evaluation of Markov-switching time series models

    Psaradakis, Zacharias (1998) Bootstrap-based evaluation of Markov-switching time series models. Econometric Reviews 17 (3), pp. 275-288. ISSN 0747-4938.

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    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 21 Jul 2020 14:53
    Last Modified: 21 Jul 2020 14:53
    URI: https://eprints.bbk.ac.uk/id/eprint/32637

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