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Misspecified markov switching model
Journal article

Misspecified markov switching model

Abstract

I characterize the local power of an optimal test for a Markov Switching model under generalized alternatives. The result shows that the test still has power for the model with endogenous stochastic parameters unless they are orthogonal to the score functions.

Authors

Shin Y

Journal

Economics Bulletin, Vol. 29, No. 2, pp. 957–963

Publication Date

December 1, 2009

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