Janczura, Joanna and Weron, Rafal (2010): Goodnessoffit testing for regimeswitching models.

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Abstract
In this paper we propose a novel goodnessoffit testing scheme for regimeswitching models. We consider models with an observable, as well as, a latent state process. The test is based on the KolmogorovSmirnov supremumdistance statistic and the concept of the weighted empirical distribution function. We apply the proposed scheme to test whether a 2state Markov regimeswitching model fits electricity spot price data.
Item Type:  MPRA Paper 

Original Title:  Goodnessoffit testing for regimeswitching models 
Language:  English 
Keywords:  Regimeswitching; Goodnessoffit; Weighted empirical distribution function; KolmogorovSmirnov test 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General Q  Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4  Energy > Q40  General 
Item ID:  22871 
Depositing User:  Joanna Janczura 
Date Deposited:  25. May 2010 00:59 
Last Modified:  30. Dec 2015 23:10 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/22871 