Specification Testing of Markov Switching Models*
提出一套正式检验方法，用于评估马尔可夫转换模型的拟合优度，包括模型一致性和参数/非参数涵盖检验，并结合模拟与非参数密度估计进行非正式检验，帮助判断模型失败或成功的原因。
Abstract This paper proposes a set of formal tests to address the goodness‐of‐fit of Markov switching models. These formal tests are constructed as tests of model consistency and of both parametric and non‐parametric encompassing. The formal tests are then combined with informal tests using simulation in combination with non‐parametric density and conditional mean estimation. The informal tests are shown to be useful in shedding light on the failure (or success) of the encompassing tests. Several examples are provided.