Testing for Regime Switching: A Comment
Andrew V. Carter, Douglas G. Steigerwald
Econometrica · 2012 · Volume 80 · Issue 4
Abstract
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.
Keywords
Consistent, Markov regime switching, quasi-maximum likelihood
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