英文标题：
《Testing the Number of Regimes in Markov Regime Switching Models》
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作者：
Hiroyuki Kasahara and Katsumi Shimotsu
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最新提交年份：
2018
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英文摘要：
Markov regime switching models have been used in numerous empirical studies in economics and finance. However, the asymptotic distribution of the likelihood ratio test statistic for testing the number of regimes in Markov regime switching models has been an unresolved problem. This paper derives the asymptotic distribution of the likelihood ratio test statistic for testing the null hypothesis of $M_0$ regimes against the alternative hypothesis of $M_0 + 1$ regimes for any $M_0 \\geq 1$ both under the null hypothesis and under local alternatives. We show that the contiguous alternatives converge to the null hypothesis at a rate of $n^{-1/8}$ in regime switching models with normal density. The asymptotic validity of the parametric bootstrap is also established.
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中文摘要：
马尔可夫制度转换模型已被用于经济和金融领域的大量实证研究。然而，马尔可夫区域切换模型中用于检验区域数的似然比检验统计量的渐近分布一直是一个尚未解决的问题。本文推导了在零假设和局部备选方案下，对任意$M\\u 0\\geq 1$的$M\\u 0$区域的零假设与$M\\u 0+1$区域的备选假设进行检验的似然比检验统计量的渐近分布。我们证明了在正态密度的区域切换模型中，相邻备选方案以$n ^{-1/8}$的速度收敛到零假设。建立了参数自举的渐近有效性。
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分类信息：

一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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