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Testing for Regime Switching: A Comment
Author(s) -
Carter Andrew V.,
Steigerwald Douglas G.
Publication year - 2012
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.3982/ecta9622
Subject(s) - economics , econometrics , mathematical economics
An autoregressive model with Markov regime‐switching is analyzed that reflects on the properties of the quasi‐likelihood ratio test developed by Cho and White (2007). For such a model, we show that consistency of the quasi‐maximum likelihood estimator for the population parameter values, on which consistency of the test is based, does not hold. We describe a condition that ensures consistency of the estimator and discuss the consistency of the test in the absence of consistency of the estimator.