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チバ マサル
CHIBA Masaru
千葉 賢 所属 経営学部 経営学科 職種 准教授 |
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| 言語種別 | 英語 |
| 発行・発表の年月 | 2022/08/08 |
| 形態種別 | 学術雑誌 |
| 査読 | 査読あり |
| 標題 | Robust and efficient specification tests in Markov-switching autoregressive models |
| 執筆形態 | 単著 |
| 掲載誌名 | Statistical Inference for Stochastic Processes |
| 掲載区分 | 国外 |
| 出版社・発行元 | Springer |
| 巻・号・頁 | 26(1),pp.99-137 |
| 総ページ数 | 39 |
| 担当範囲 | Model building, simulation, empirical analysis |
| 著者・共著者 | Masaru CHIBA |
| 概要 | This study develops two types of robust test statistics applicable to Markov-switching autoregressive models. The test statistics can be constructed by sum functionals of the “smoothed” probabilities that a given observation came from a particular regime and do not require the estimation of additional parameters. Monte Carlo experiments show that the tests have good finite-sample size and power properties. The tests are applied to investigate the fluctuations in real GNP growth in the U.S. |