An earlier version of this paper has circulated under the title “Optimal Test for Markov Switching.” The authors are grateful to an editor and three referees for helpful comments. Carrasco gratefully acknowledges partial financial support from the National Science Foundation under Grant SES-0211418.
Optimal Test for Markov Switching Parameters
Version of Record online: 1 APR 2014
© 2014 The Econometric Society
Volume 82, Issue 2, pages 765–784, March 2014
How to Cite
Carrasco, M., Hu, L. and Ploberger, W. (2014), Optimal Test for Markov Switching Parameters. Econometrica, 82: 765–784. doi: 10.3982/ECTA8609
- Issue online: 1 APR 2014
- Version of Record online: 1 APR 2014
- Manuscript received June, 2009; final revision received February, 2013.
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