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Optimal Test for Markov Switching
16 references·3 citing·45 second hop
Optimal Test for Markov Switching (2004)Optimal Test for Markov SwitchingWhat's Real About the Business Cycle? (2005)What's Real About the Busines…Periodically collapsing bubbles in the US stock market? (2002)Periodically collapsing bubbl…A simple framework for analysing bull and bear markets (2002)A simple framework for analys…Business Fixed Investment and “Bubbles”: The Japanese Case (2001)Business Fixed Investment and…Detecting periodically collapsing bubbles: a Markov-switching unit root test (1999)Detecting periodically collap…Periodically collapsing stock price bubbles: a robust test (1998)Periodically collapsing stock…Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? (1998)Avoiding the Pitfalls: Can Re…Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…The Predictability of Stock Market Regime: Evidence from the Toronto Stock Exchange (1993)The Predictability of Stock M…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)Pitfalls in Testing for Explo…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Explosive Rational Bubbles in Stock Prices (1988)Explosive Rational Bubbles in…Testing for Neglected Heterogeneity (1984)Testing for Neglected Heterog…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Macroeconomic Regimes and Regime Shifts (2016)Macroeconomic Regimes and Reg…Regional and global spillovers and diversification opportunities in the GCC equity sectors (2015)Regional and global spillover…How does fiscal policy react to wealth composition and asset prices? 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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1988Explosive Rational Bubbles in Stock Prices705 cited
  • 1991Pitfalls in Testing for Explosive Bubbles in Asset Prices685 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 2002A simple framework for analysing bull and bear markets593 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 1999Detecting periodically collapsing bubbles: a Markov-switching unit root test251 cited
  • 1984Testing for Neglected Heterogeneity251 cited
  • 2001Business Fixed Investment and “Bubbles”: The Japanese Case203 cited
  • 2005What's Real About the Business Cycle?112 cited
  • 1993The Predictability of Stock Market Regime: Evidence from the Toronto Stock Exchange98 cited
  • 1998Periodically collapsing stock price bubbles: a robust test98 cited
  • 1998Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?

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85 cited
  • 2002Periodically collapsing bubbles in the US stock market?82 cited
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    • 2012How does fiscal policy react to wealth composition and asset prices?87 cited
    • 2015Regional and global spillovers and diversification opportunities in the GCC equity sectors34 cited
    • 2016Macroeconomic Regimes and Regime Shifts21 cited