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Youngki Shin
 
''Misspecified Markov Switching Model''
( 2009, Vol. 29 No.2 )
 
 
I characterize the local power of an optimal test for a Markov Switching model under generalized alternatives. The result shows that the test still has power for the model with endogenous stochastic parameters unless they are orthogonal to the score functions.
 
 
Keywords:
JEL: C1 - Econometric and Statistical Methods: General
 
Manuscript Received : Aug 22 2008 Manuscript Accepted : May 12 2009

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