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| Youngki Shin |
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| ''Misspecified Markov Switching Model'' |
| ( 2009, Vol. 29 No.2 ) |
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| 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. |
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| Keywords: |
JEL: C1 - Econometric and Statistical Methods: General
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| Manuscript Received : Aug 22 2008 | | Manuscript Accepted : May 12 2009 |
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